The convergence of some recursion

DOI10.1214/AOS/1176343658MaRDI QIDQ1230332zbMATH OpenOpenAlexFDO

Authors E. J. Hannan

Publication date 1976

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176343658

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Cited in

(6)

• Identification of ‘ moving average’ plants under unobservable disturbances
• Robust real-time identification of linear systems with correlated noise
• Adaptive estimation for an extension of the autoregressive time series model
• Adaptive estimation and prediction for an extension of the antoregressive multiple time series model
• Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems
• Some aspects of recursive parameter estimation

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