Recursive estimation of a drifted autoregressive parameter.

DOI10.1214/AOS/1015952001MaRDI QIDQ1848802zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

recursive algorithmconvergence rateAutoregressive model

Mathematics Subject Classification ID

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

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Cites work

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• Convergence of stochastic approximation algorithms in parameter identification of dynamic plants
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• Probability with Martingales
• Recursive estimation of autoregression parameters
• Sequential Generlized Least squares Estimator For An Autoressive parameter
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(13)

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• On recursive estimation for time varying autoregressive processes
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• A recursive online algorithm for the estimation of time-varying ARCH parameters
• Contrast estimation of time-varying infinite memory processes
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• Recursive tracking algorithm for a predictable time-varying parameter of a time series
• Efficient on-line estimation of autoregressive parameters

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