Recursive parameter estimation: convergence

DOI10.1007/S11203-007-9008-XzbMATH Open1204.62142arXiv0705.1766OpenAlexW1997987028MaRDI QIDQ623481FDOQ623481

Authors: Teo Sharia 

Publication date: 5 February 2011

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Abstract: We consider estimation procedures which are recursive in the sense that each successive estimator is obtained from the previous one by a simple adjustment. We propose a wide class of recursive estimation procedures for the general statistical model and study convergence.

Full work available at URL: https://arxiv.org/abs/0705.1766

Recommendations

• Rate of Convergence in Recursive Parameter Estimation procedures
• Recursive parameter estimation: asymptotic expansion
• Rate of Convergence of Recursive Estimators
• A recursive parameter estimator yielding exponential convergence under sufficient excitation
• scientific article; zbMATH DE number 3886919
• Recursive identification and parameter estimation
• Recursive parameter estimation of transfer function models
• Recursive estimation in the general linear model
• A recursive algorithm and its convergence for parameter estimation of convolution model

zbMATH Keywords

estimating equationsrecursive estimation

Mathematics Subject Classification ID

Sequential estimation (62L12) Stochastic approximation (62L20)

Cites Work

• Approximation Theorems of Mathematical Statistics
• Robust Statistics
• Title not available (Why is that?)
• Title not available (Why is that?)
• A Stochastic Approximation Method
• Title not available (Why is that?)
• Title not available (Why is that?)
• Robust asymptotic statistics
• Title not available (Why is that?)
• Title not available (Why is that?)
• Recursive computation of M-estimates for the parameters of a finite autoregressive process
• On asymptotically efficient recursive estimation
• On the recursive parameter estimation in the general discrete time statistical model
• Title not available (Why is that?)
• Rate of Convergence in Recursive Parameter Estimation procedures
• Recursive estimators for stationary, strong mixing processes - a representation theorem and asymptotic distributions
• The robbins-monro type stochastic differential equations. I. convergence of solutions
• Title not available (Why is that?)
• The Robbins–Monro type stochastic differential equations. II. Asymptotic behaviour of solutions
• A Review of Some Aspects of Asymptotic Likelihood Theory for Stochastic Processes

Cited In (20)

• Title not available (Why is that?)
• Truncated stochastic approximation with moving bounds: convergence
• Rate of Convergence in Recursive Parameter Estimation procedures
• Recursive estimation of autoregression parameters
• Recursive estimation procedures for one-dimensional parameter of statistical models associated with semimartingales
• Title not available (Why is that?)
• Efficient on-line estimation of autoregressive parameters
• Recursive estimation of minimum eigenvalues of information matrices
• Rate of Convergence of Recursive Estimators
• Recursive estimation and difference equations
• A recursive algorithm and its convergence for parameter estimation of convolution model
• Asymptotic behavior of truncated stochastic approximation procedures
• Title not available (Why is that?)
• Sequential estimation of the parameters of regression model
• A recursive parameter estimator yielding exponential convergence under sufficient excitation
• Almost sure convergence of Titterington's recursive estimator for mixture models
• Title not available (Why is that?)
• Notes on a recursive procedure for point estimation
• On the convergence of some adaptive estimation procedures
• Rate of convergence of truncated stochastic approximation procedures with moving bounds

This page was built for publication: Recursive parameter estimation: convergence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q623481)