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

DOI10.1111/j.1467-9892.1996.tb00293.xzbMath0873.62092OpenAlexW2043105712MaRDI QIDQ4337818

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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

convergence analysisexponential forgettingasymptotic biascovariance functionrecursive least squares estimation algorithmstationary Gaussian vector autoregressions

Mathematics Subject Classification ID

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

Related Items (5)

Exact distribution and moments for the RLS estimate in a time-varying AR(1) process ⋮ Performance of adaptive estimators in slowly varying parameter models ⋮ Nonparametric regression for nonstationary processes ⋮ First inverse moment of a generalized quadratic form ⋮ Recursive least squares estimator with multiple exponential windows in vector autoregression

Cites Work

• Unnamed Item
• Convergence analysis of the least-squares identification algorithm with a variable forgetting factor for time-varying linear systems
• Exact distribution and moments for the RLS estimate in a time-varying AR(1) process
• Nonasymptotic results for finite-memory WLS filters
• Performance analysis of the forgetting factor RLS algorithm
• Bounded error identification of time-varying parameters by RLS techniques
• Elements of multivariate time series analysis

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