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

large deviationsalmost sure convergencerecursive algorithmslinear dynamic plantestimation of the parametersautoregression equation

Mathematics Subject Classification ID

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

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Cited in

(9)

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

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