Strong approximation of the recursive prediction error estimator of the parameters of an ARMA process
From MaRDI portal
Publication:1315968
DOI10.1016/0167-6911(93)90078-KzbMath0793.93121OpenAlexW2180080460MaRDI QIDQ1315968
Publication date: 17 April 1994
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6911(93)90078-k
Related Items (4)
On Rissanen's predictive stochastic complexity for stationary ARMA processes ⋮ On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case ⋮ On the statistical analysis of quantized Gaussian AR(1) processes ⋮ On fixed gain recursive estimators with discontinuity in the parameters
Cites Work
- On the martingale approximation of the estimation error of ARMA parameters
- The second order properties of a time series recursion
- On Rissanen's predictive stochastic complexity for stationary ARMA processes
- Rate of Convergence of Recursive Estimators
- Uniqueness of the maximum likelihood estimates of the parameters of an ARMA model
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Strong approximation of the recursive prediction error estimator of the parameters of an ARMA process
