Parameter estimation for ARMA processes with errors in models

DOI10.1016/0167-7152(94)90023-XzbMath0801.62080OpenAlexW2003775298MaRDI QIDQ1332884

Claude Deniau, Chen, Hanfu

Publication date: 30 November 1994

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(94)90023-x

zbMATH Keywords

convergence rateARMA processstrong consistencymodel errorsmartingale difference sequencerecursive ELS algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (2)

Robustness of forecasting of autoregressive time series for additive distortions ⋮ Strongly consistent coefficient estimate for errors-in-variables models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Autocorrelation, autoregression and autoregressive approximation
• Robustness analysis of identification and adaptive control for stochastic systems
• Identification and stochastic adaptive control
• Almost sure convergence analysis of autoregressive spectral estimation in additive noise

This page was built for publication: Parameter estimation for ARMA processes with errors in models