Recursive estimation and time-series analysis. An introduction

data analysis instrumental variables least squares recursive estimation maximum likelihood method extended Kalman filter approach polynomial matrix description prediction error minimization stochastic model building time-series estimation

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Stochastic approximation (62L20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01)

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