Recursive estimation of a drifted autoregressive parameter.

DOI10.1214/aos/1015952001zbMath1105.62373OpenAlexW2108665409MaRDI QIDQ1848802

Eduard 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

zbMATH Keywords

convergence raterecursive algorithmAutoregressive model

Mathematics Subject Classification ID

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

Related Items

Contrast estimation of time-varying infinite memory processes, Sequential robust estimation for nonparametric autoregressive models, Efficient on-line estimation of autoregressive parameters, Performance of adaptive estimators in slowly varying parameter models, Sequential model selection method for nonparametric autoregression, Recursive tracking algorithm for a predictable time-varying parameter of a time series, On recursive estimation for time varying autoregressive processes

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