Time series recursions and stochastic approximation

DOI10.1017/S0004972700009229zbMath0398.62073OpenAlexW2044379769MaRDI QIDQ4181848

Victor Solo

Publication date: 1979

Published in: Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0004972700009229

zbMATH Keywords

Central Limit TheoremTime SeriesRecursive EstimatorsRecursionsStochastic ApproximationTime Invariant Parameters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic approximation (62L20)

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ITERATIVE AND RECURSIVE ESTIMATION OF TRANSFER FUNCTIONS ⋮ Refined instrumental variable methods for unstable continuous-time systems in closed-loop ⋮ Frequency domain versus time domain methods in system identification ⋮ Analysis of a general recursive prediction error identification algorithm ⋮ Detection techniques in least squares identification ⋮ The convergence of an instrumental-variable-like recursion ⋮ Stochastic adaptive control using a modified least squares algorithm ⋮ Stochastic approximation with dependent noise ⋮ Gauss, Kalman and advances in recursive parameter estimation ⋮ Stochastic approximation and the final value theorem ⋮ On the estimation of transfer functions

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