Online estimation methods for irregular autoregressive models

DOI10.1007/978-3-031-40209-8_1MaRDI QIDQ6609928zbMATH OpenFDO

Authors Felipe Elorrieta, Lucas Osses, Matias Cáceres, Susana Eyheramendy, Wilfredo Palma

Publication date 24 September 2024

zbMATH Keywords

online estimationstreaming dataautoregressive modelgradient descent

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

Cites work

• scientific article; zbMATH DE number 3757565 (Why is no real title available?)
• A novel first-order autoregressive moving average model to analyze discrete-time series irregularly observed
• Bayesian filtering and smoothing
• Climate time series analysis. Classical statistical and bootstrap methods
• Econometrics of financial high-frequency data
• Logarithmic regret algorithms for online convex optimization
• On continuous-time autoregressive fractionally integrated moving average processes
• The problem of the Nile: Conditional solution to a changepoint problem
• Time series clustering and classification

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