BIAS AND COVARIANCE OF THE RECURSIVE LEAST SQUARES ESTIMATOR WITH EXPONENTIAL FORGETTING IN VECTOR AUTOREGRESSIONS

DOI10.1111/J.1467-9892.1996.TB00293.XMaRDI QIDQ4337818zbMATH OpenOpenAlexFDO

Authors

Publication date 4 November 1997

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1996.tb00293.x

zbMATH Keywords

asymptotic biasconvergence analysiscovariance functionexponential forgettingrecursive least squares estimation algorithmstationary Gaussian vector autoregressions

Mathematics Subject Classification ID

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

Recommendations

• Asymptotic Bias in Parameter Estimation of AR‐Processes Using Recursive Least Squares with Exponential Forgetting
• Convergence analysis of the RLS identification algorithm with exponential forgetting in stationary ARX-structures
• Exact distribution and moments for the RLS estimate in a time-varying AR(1) process
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• Recursive least squares estimator with multiple exponential windows in vector autoregression

Cites work

• Bounded error identification of time-varying parameters by RLS techniques
• Convergence analysis of the least-squares identification algorithm with a variable forgetting factor for time-varying linear systems
• Elements of multivariate time series analysis
• Exact distribution and moments for the RLS estimate in a time-varying AR(1) process
• scientific article; zbMATH DE number 3875113 (Why is no real title available?)
• Nonasymptotic results for finite-memory WLS filters
• Performance analysis of the forgetting factor RLS algorithm

Cited in

(11)

• First inverse moment of a generalized quadratic form
• Recursive least squares estimator with multiple exponential windows in vector autoregression
• Exact distribution and moments for the RLS estimate in a time-varying AR(1) process
• scientific article; zbMATH DE number 1220051 (Why is no real title available?)
• Convergence analysis of the RLS identification algorithm with exponential forgetting in stationary ARX-structures
• scientific article; zbMATH DE number 2059780 (Why is no real title available?)
• Nonparametric regression for nonstationary processes
• Recursive least square estimations of AR(q) series
• Asymptotic Bias in Parameter Estimation of AR‐Processes Using Recursive Least Squares with Exponential Forgetting
• On exponentially weighted recursive least squares for estimating time-varying parameters and its application to computer workload forecasting
• Performance of adaptive estimators in slowly varying parameter models

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