Efficient on-line estimation of autoregressive parameters
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Publication:2437891
DOI10.3103/S1066530710020055zbMath1282.62045MaRDI QIDQ2437891
Publication date: 10 March 2014
Published in: Mathematical Methods of Statistics (Search for Journal in Brave)
parameter estimationstochastic approximationasymptotic efficiencyleast squaresrecursive likelihood procedures
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Inference from stochastic processes (62M99)
Related Items (5)
A New Recursive Estimation Method for Single Input Single Output Models ⋮ Truncated stochastic approximation with moving bounds: convergence ⋮ Unnamed Item ⋮ Rate of convergence of truncated stochastic approximation procedures with moving bounds ⋮ Real Time Anomaly Detection And Categorisation
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