Asymptotic Bias in Parameter Estimation of AR‐Processes Using Recursive Least Squares with Exponential Forgetting

DOI10.1111/1467-9469.00185zbMATH Open0940.62076OpenAlexW2061750127MaRDI QIDQ4956072FDOQ4956072

Authors:

Publication date: 24 May 2000

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00185

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• BIAS AND COVARIANCE OF THE RECURSIVE LEAST SQUARES ESTIMATOR WITH EXPONENTIAL FORGETTING IN VECTOR AUTOREGRESSIONS
• Convergence analysis of the RLS identification algorithm with exponential forgetting in stationary ARX-structures
• Mean estimation bias in least squares estimation of autoregressive processes
• Exact distribution and moments for the RLS estimate in a time-varying AR(1) process
• Asymptotic bias of the least squares estimator for multivariate autoregressive models

zbMATH Keywords

biasautoregressionrecursive least squares

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (3)

• Performance of adaptive estimators in slowly varying parameter models
• First inverse moment of a generalized quadratic form
• Exact distribution and moments for the RLS estimate in a time-varying AR(1) process

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