Recursive parameter estimation of an autoregressive process disturbed by white noise

DOI10.1080/00207177908922826zbMath0424.62065MaRDI QIDQ3859153

Hideaki Sakai, Masahiro Arase

Publication date: 1979

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207177908922826

zbMATH Keywords

white noise; periodogram; autoregressive process; error covariance matrix; Yule-Walker equations; Cramer-Rao bound; recursive parameter estimation; bootstrap estimator; modified least-squares estimation

Mathematics Subject Classification ID

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

65C10: Random number generation in numerical analysis

62L12: Sequential estimation

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