Recursive estimation of autoregression parameters

zbMath0657.93060MaRDI QIDQ1111514

Sergei L. Leonov

Publication date: 1988

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

large deviationsalmost sure convergencerecursive algorithmslinear dynamic plantestimation of the parametersautoregression equation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Large deviations (60F10) Sequential estimation (62L12) Probabilistic methods, stochastic differential equations (65C99)

Related Items (1)

Recursive estimation of a drifted autoregressive parameter.

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