Recursive estimation of a drifted autoregressive parameter.

DOI10.1214/AOS/1015952001zbMATH Open1105.62373OpenAlexW2108665409MaRDI QIDQ1848802FDOQ1848802

Authors: E. Belitser 

Publication date: 14 November 2002

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

Full work available at URL: https://projecteuclid.org/euclid.aos/1015952001

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zbMATH Keywords

recursive algorithmconvergence rateAutoregressive model

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Time series: theory and methods.
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• Recursive estimation of autoregression parameters
• Convergence of stochastic approximation algorithms in parameter identification of dynamic plants
• Sequential Generlized Least squares Estimator For An Autoressive parameter

Cited In (13)

• Recursive tracking algorithm for a predictable time-varying parameter of a time series
• Title not available (Why is that?)
• Sequential robust estimation for nonparametric autoregressive models
• Contrast estimation of time-varying infinite memory processes
• Recursive estimation of autoregression parameters
• Sequential model selection method for nonparametric autoregression
• Efficient on-line estimation of autoregressive parameters
• Performance of adaptive estimators in slowly varying parameter models
• Title not available (Why is that?)
• A recursive online algorithm for the estimation of time-varying ARCH parameters
• Title not available (Why is that?)
• Adaptive efficient robust sequential analysis for autoregressive big data models
• On recursive estimation for time varying autoregressive processes

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