Semi-recursive nonparametric identification in the general sense of a nonlinear heteroscedastic autoregression

DOI10.1134/S0005117910020086zbMath1211.93132MaRDI QIDQ1956880

A. V. Kitaeva, Gennady M. Koshkin

Publication date: 24 September 2010

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

zbMATH Keywords

sensitivityconditional meanvolatility functionmean square errorsnonlinear heteroscedastic autoregressionsemi-recursive kernel estimates

Mathematics Subject Classification ID

Nonlinear systems in control theory (93C10) Stochastic stability in control theory (93E15) Stochastic systems in control theory (general) (93E03)

Cites Work

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• Nonparametric vector autoregression
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• Optimal asymptotic quadratic error of nonparametric regression function estimates for a continuous-time process from sampled-data
• Nonparametric Identification of Nonlinear Time Series: Projections
• Nonparametric Autoregression with Multiplicative Volatility and Additive mean

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