Efficient on-line estimation of autoregressive parameters
DOI10.3103/S1066530710020055zbMATH Open1282.62045MaRDI QIDQ2437891FDOQ2437891
Authors: Yanyan Li 
Publication date: 10 March 2014
Published in: Mathematical Methods of Statistics (Search for Journal in Brave)
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parameter estimationasymptotic efficiencyleast squaresstochastic approximationrecursive likelihood procedures
Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Robustness and adaptive procedures (parametric inference) (62F35)
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Cited In (11)
- Truncated stochastic approximation with moving bounds: convergence
- On‐line parameter interval estimation using recursive least squares
- A new recursive estimation method for single input single output models
- Strong consistency of the regularized least-squares estimates of infinite autoregressive models
- An On-Line Estimation Algorithm for Periodic Autoregressive Models
- On-line sequential parameter estimation
- Title not available (Why is that?)
- Title not available (Why is that?)
- Real Time Anomaly Detection And Categorisation
- Efficient computation of autoregressive estimates through a sufficient statistic
- Rate of convergence of truncated stochastic approximation procedures with moving bounds
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