Algorithms for estimation of autoregression coefficients (Q1057829)
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scientific article; zbMATH DE number 3898748
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Algorithms for estimation of autoregression coefficients |
scientific article; zbMATH DE number 3898748 |
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Algorithms for estimation of autoregression coefficients (English)
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1984
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The recursive algorithms of estimation of autoregression coefficients proposed by \textit{Ya. Z. Tsypkin} and the third author [Izv. Akad. Nauk SSSR, Tekh. Kibern. No.1, 118-126 (1983)] are studied with the aid of simulation. Their convergence rate depends on various factors. Theoretical and numerical results are compared, and it is found by experiment that the algorithms are convergent in the case of unstable models and noise with infinite variance.
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recursive algorithms
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estimation of autoregression coefficients
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convergence rate
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