Recursive estimation based on ARMA models

DOI10.1214/AOS/1176345069zbMath0447.62085OpenAlexW1982858002MaRDI QIDQ1146484

E. J. Hannan

Publication date: 1980

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

Full work available at URL: https://doi.org/10.1214/aos/1176345069

zbMATH Keywords

strong convergencemartingalesARMA modelsrecursive estimationreal time calculation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential estimation (62L12)

Related Items (3)

A New Recursive Estimation Method for Single Input Single Output Models ⋮ Adaptive estimation and prediction for an extension of the antoregressive multiple time series model ⋮ Recursive Estimation of GARCH Models

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