Recursive transformation matrices for linear dynamic system models

DOI10.1016/0167-9473(88)90043-6MaRDI QIDQ804199zbMATH OpenOpenAlexFDO

Authors N. E. Zubov

Publication date 1988

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-9473(88)90043-6

zbMATH Keywords

time serieswhite noisesimilar modelscoloured noisegeneralized exponentially weighted regressionlimiting updating vectorlinear dynamic system modelstransformation matrices

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic systems and control (93E99)

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