The second order properties of a time series recursion

DOI10.1214/AOS/1176345397MaRDI QIDQ1161024zbMATH OpenOpenAlexFDO

Authors V. Solo

Publication date 1981

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176345397

zbMATH Keywords

maximum likelihood estimationGaussian processWiener processinvariance principlemartingale difference sequenceinnovation sequence of ARMAX model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Estimation and detection in stochastic control theory (93E10)

Cited in

(6)

• Recursive Estimation of GARCH Models
• Robust real-time identification of linear systems with correlated noise
• A new recursive estimation method for single input single output models
• Strong approximation of the recursive prediction error estimator of the parameters of an ARMA process
• A recursive online algorithm for the estimation of time-varying ARCH parameters
• Structural adaptive smoothing procedures

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