Recursive least squares estimator with multiple exponential windows in vector autoregression

DOI10.1007/S102550200006MaRDI QIDQ1611085zbMATH OpenOpenAlexFDO

Authors Zhiguo Li, Hongzhi 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

multiple exponential windowsrectangular windowsvector autoregressionweighted least squares

Mathematics Subject Classification ID

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

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Cites work

• A result on the mean square error obtained using general tracking algorithms
• Adaptive RLS algorithms under stochastic excitation-L/sup 2/ convergence analysis
• BIAS AND COVARIANCE OF THE RECURSIVE LEAST SQUARES ESTIMATOR WITH EXPONENTIAL FORGETTING IN VECTOR AUTOREGRESSIONS
• Design of adaptive algorithms for the tracking of time‐varying systems
• Estimation with finite memory
• Exact distribution and moments for the RLS estimate in a time-varying AR(1) process
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• Performance analysis of general tracking algorithms
• Performance analysis of the forgetting factor RLS algorithm
• The exact moments of the least squares estimator for the autoregressive model

Cited in

(8)

• A revisit to block and recursive least squares for parameter estimation
• Sliding-windowed weighted recursive least-squares method for parameter estimation
• scientific article; zbMATH DE number 3952637 (Why is no real title available?)
• scientific article; zbMATH DE number 513151 (Why is no real title available?)
• BIAS AND COVARIANCE OF THE RECURSIVE LEAST SQUARES ESTIMATOR WITH EXPONENTIAL FORGETTING IN VECTOR AUTOREGRESSIONS
• scientific article; zbMATH DE number 1556149 (Why is no real title available?)
• A novel variable-length sliding window blockwise least-squares algorithm for on-line estimation of time-varying parameters
• On exponentially weighted recursive least squares for estimating time-varying parameters and its application to computer workload forecasting

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