Recursive estimation of possibly misspecified MA(1) models: convergence of a general algorithm

MaRDI QIDQ5326957zbMATH OpenFDO

Authors J. Cantor, David F. Findley

Publication date 1 August 2013

Full work available at URL https://arxiv.org/abs/math/0702764

zbMATH Keywords

AMLmisspecified modelsPLRRML\(_1\)RML\(_2\)Robbins-Monrotime series

Mathematics Subject Classification ID

Stochastic approximation (62L20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(4)

• On the convergence of Young's instrumental variable and approximate maximum likelihood algorithms
• Convergence of a Robbins-Monro Algorithm for Recursive Estimation with Non-Monotone Weights for a Function with a Restricted Domain and Multiple Zeros
• A conversation with David Findley
• A recursive algorithm and its convergence for parameter estimation of convolution model

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