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

DOI10.1111/1467-9469.00185MaRDI QIDQ4956072zbMATH OpenOpenAlexFDO

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

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)

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