On the recursive parameter estimation in the general discrete time statistical model

DOI10.1016/S0304-4149(97)00098-7zbMath0933.62078MaRDI QIDQ1965907

Teo Sharia

Publication date: 1 March 2000

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

martingalesrecursive estimationconditional density of distributions

Mathematics Subject Classification ID

Stochastic approximation (62L20) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential estimation (62L12)

Related Items (8)

A New Recursive Estimation Method for Single Input Single Output Models ⋮ Truncated stochastic approximation with moving bounds: convergence ⋮ Recursive parameter estimation: convergence ⋮ Unnamed Item ⋮ Efficient on-line estimation of autoregressive parameters ⋮ Rate of convergence of truncated stochastic approximation procedures with moving bounds ⋮ Semimartingale stochastic approximation procedure and recursive estimation ⋮ Recursive estimation procedures for one-dimensional parameter of statistical models associated with semimartingales

Cites Work

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• Recursive estimators for stationary, strong mixing processes - a representation theorem and asymptotic distributions
• On asymptotically efficient recursive estimation
• Statistical analysis of finite mixture distributions
• A Stochastic Approximation Method

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