Exact distribution and moments for the RLS estimate in a time-varying AR(1) process (Q1915012)
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scientific article; zbMATH DE number 885850
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exact distribution and moments for the RLS estimate in a time-varying AR(1) process |
scientific article; zbMATH DE number 885850 |
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Exact distribution and moments for the RLS estimate in a time-varying AR(1) process (English)
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9 June 1996
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recursive least-squares
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identification
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forgetting factor
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compute
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distribution
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moments
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weighted least-squares
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0.83246195
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0.82880634
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0.8268332
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