On exponentially weighted recursive least squares for estimating time-varying parameters and its application to computer workload forecasting

DOI10.1080/15598608.2008.10411879MaRDI QIDQ715772zbMATH OpenOpenAlexFDO

Authors Ta-Hsin Li

Publication date 18 April 2011

Published in Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15598608.2008.10411879

zbMATH Keywords

Kalman filterstate-space modelrecursive least squaresadaptive filterseasonal time seriescomputer workload

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Computer system organization (68M99)

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Cites work

• scientific article; zbMATH DE number 44406 (Why is no real title available?)
• scientific article; zbMATH DE number 50447 (Why is no real title available?)
• A Hierarchical Framework for Modeling and Forecasting Web Server Workload
• Bounded error identification of time-varying parameters by RLS techniques
• Linear Statistical Inference and its Applications
• Performance analysis of the forgetting factor RLS algorithm
• Recursive estimation and time-series analysis. An introduction
• Recursive estimation in econometrics
• Stochastic processes and filtering theory
• Stochastic, dynamic modelling and signal processing: Time variable and state dependent parameter estimation
• Tracking error bounds of adaptive nonstationary filtering

Cited in

(2)

• Recursive least squares estimator with multiple exponential windows in vector autoregression
• Performance of adaptive estimators in slowly varying parameter models

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