Recursive search-based identification algorithms for the exponential autoregressive time series model with coloured noise
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multiinnovation ESG algorithmunknown parameterstime seriesstochastic processesrecursive search-based identification algorithmsrecursive parameter estimation problemsrecursive estimationparameter estimation accuracyparameter estimationoptimal step-sizenonlinear exponential autoregressive modelmultiinnovation identification theoryappropriate innovation lengthMI-ESG algorithmleast squares approximationsgradient searchgradient methodsforgetting factorextended stochastic gradient algorithmexponential autoregressive time series modelExpARMA modelcoloured noiseaverage noiseautoregressive moving average processes
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Cited in
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- Cauchy kernel correntropy-based robust multi-innovation identification method for the nonlinear exponential autoregressive model in non-Gaussian environment
- Data filtering-based recursive identification for an exponential autoregressive moving average model by using the multi-innovation theory
- Multi-innovation recursive methods for a class of nonlinear time series models based on the penalty term
- Adaptive polynomial Kalman filter for nonlinear state estimation in modified AR time series with fixed coefficients
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