Recursive identification for multidimensional ARMA processes with increasing variance

MaRDI QIDQ866181zbMATH OpenFDO

Authors Hanfu Chen

Publication date 20 February 2007

Published in Science in China. Series F (Search for Journal in Brave)

zbMATH Keywords

martingale difference sequencerecursive estimation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(1)

• A Robust Identification Technique for Time-Varying ARMA Processes Based on Variable Structure Systems Theory

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