A Recursive Algorithm for Adaptive Estimation and Parameter Change Detection of Time Series Models

DOI10.2307/2582287zbMath0603.62095OpenAlexW4248967375MaRDI QIDQ3740081

Tep Sastri

Publication date: 1986

Published in: The Journal of the Operational Research Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2582287

zbMATH Keywords

adaptive smoothingchange point problemBox-Jenkins modelsautoregressive moving- average modelsadaptive forecastingD.R.L.S. algorithmdiscounted recursive least-squaresparameter change detection

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

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