Efficient on-line estimation of autoregressive parameters

DOI10.3103/S1066530710020055MaRDI QIDQ2437891zbMATH OpenFDO

Authors Yanyan Li

Publication date 10 March 2014

Published in Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

parameter estimationasymptotic efficiencyleast squaresstochastic approximationrecursive likelihood procedures

Mathematics Subject Classification ID

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
• scientific article; zbMATH DE number 7387192 (Why is no real title available?)
• Real Time Anomaly Detection And Categorisation
• scientific article; zbMATH DE number 5879037 (Why is no real title available?)
• Efficient computation of autoregressive estimates through a sufficient statistic
• Rate of convergence of truncated stochastic approximation procedures with moving bounds

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