Performance of adaptive estimators in slowly varying parameter models

DOI10.1007/S10260-007-0083-3zbMATH Open1405.62116OpenAlexW2016340175MaRDI QIDQ734464FDOQ734464

Authors Carlo Grillenzoni 

Publication date 13 October 2009

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-007-0083-3

zbMATH Keywords

weighted least squaresmean squared errordynamic modelsexponential discountingtime-varying parameters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

• scientific article; zbMATH DE number 3875113 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Asymptotic Bias in Parameter Estimation of AR‐Processes Using Recursive Least Squares with Exponential Forgetting
• BIAS AND COVARIANCE OF THE RECURSIVE LEAST SQUARES ESTIMATOR WITH EXPONENTIAL FORGETTING IN VECTOR AUTOREGRESSIONS
• Bounded error identification of time-varying parameters by RLS techniques
• Fitting time series models to nonstationary processes
• Least squares estimator for regression models with some deterministic time varying parameters
• On recursive estimation for time varying autoregressive processes
• PARSIMONIOUS PERIODIC TIME SERIES MODELING
• Performance analysis of general tracking algorithms
• Recursive estimation of a drifted autoregressive parameter.
• Testing for causality in real time

Cited In (1)

• Sequential tests of causality between environmental time series: with application to the global warming theory

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