Recursive estimation based on ARMA models

DOI10.1214/AOS/1176345069MaRDI QIDQ1146484zbMATH OpenOpenAlexFDO

Authors E. J. Hannan

Publication date 1980

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176345069

zbMATH Keywords

ARMA modelsmartingalesreal time calculationrecursive estimationstrong convergence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Sequential estimation (62L12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(3)

• Recursive Estimation of GARCH Models
• Adaptive estimation and prediction for an extension of the antoregressive multiple time series model
• A new recursive estimation method for single input single output models

This page was built for publication: Recursive estimation based on ARMA models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1146484)