The second order properties of a time series recursion

DOI10.1214/AOS/1176345397zbMath0477.62072OpenAlexW1999645676MaRDI QIDQ1161024

Victor Solo

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1214/aos/1176345397

zbMATH Keywords

maximum likelihood estimationWiener processGaussian processinvariance principlemartingale difference sequenceinnovation sequence of ARMAX model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Estimation and detection in stochastic control theory (93E10)

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A New Recursive Estimation Method for Single Input Single Output Models ⋮ Robust real-time identification of linear systems with correlated noise ⋮ A recursive online algorithm for the estimation of time-varying ARCH parameters ⋮ Structural Adaptive Smoothing Procedures ⋮ Recursive Estimation of GARCH Models ⋮ Strong approximation of the recursive prediction error estimator of the parameters of an ARMA process

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