Recursive estimation of autoregression parameters

MaRDI QIDQ1111514zbMATH OpenFDO

Authors Sergei Leonov

Publication date 1988

Published in Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

almost sure convergenceautoregression equationestimation of the parameterslarge deviationslinear dynamic plantrecursive algorithms

Mathematics Subject Classification ID

Large deviations (60F10) Sequential estimation (62L12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10)

Review text

Sufficient conditions are studied for almost sure convergence of recursive algorithms of estimation of the parameters of a linear dynamic plant described by an autoregression equation. It is assumed that the observation errors have a bounded moment of fixed order \(\nu\), \(\nu\geq 2\). This approach is based on studying the asymptotic behavior of the probabilities of large deviations.

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(11)

• Algorithms for estimation of autoregression coefficients
• Strong consistency of nonlinear recursive algorithms of estimation of the parameters of linear difference equations
• Asymptotic normality and the rate of convergence of recursive stochastic processes with a nonlinear residual transformation
• Nonasymptotic confidence limits on the rate of convergence of estimation algorithms for the autoregression coefficient of a partially observed process
• Recursive estimation of a drifted autoregressive parameter.
• Parametric estimation in autoregressive processes under quasi-associated random errors
• LEVINSON-TYPE RECURSIVE ALGORITHMS FOR LEAST-SQUARES AUTOREGRESSION
• scientific article; zbMATH DE number 4106081 (Why is no real title available?)
• Recursive methods for estimating the radial basis function‐based state‐dependent autoregressive model
• Recursive estimation of possibly misspecified MA(1) models: convergence of a general algorithm
• A recursive algorithm and its convergence for parameter estimation of convolution model

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