Recursive least squares estimator with multiple exponential windows in vector autoregression

DOI10.1007/s102550200006zbMath0994.62088OpenAlexW2028356556MaRDI QIDQ1611085

Zhiguo Li, Hong-Zhi An

Publication date: 15 September 2002

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s102550200006

zbMATH Keywords

weighted least squaresvector autoregressionmultiple exponential windowsrectangular windows

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Unnamed Item
• The exact moments of the least squares estimator for the autoregressive model
• Exact distribution and moments for the RLS estimate in a time-varying AR(1) process
• Design of adaptive algorithms for the tracking of time‐varying systems
• Adaptive RLS algorithms under stochastic excitation-L/sup 2/ convergence analysis
• A result on the mean square error obtained using general tracking algorithms
• Performance analysis of the forgetting factor RLS algorithm
• BIAS AND COVARIANCE OF THE RECURSIVE LEAST SQUARES ESTIMATOR WITH EXPONENTIAL FORGETTING IN VECTOR AUTOREGRESSIONS
• Performance analysis of general tracking algorithms
• Estimation with finite memory

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