Recursive tracking algorithm for a predictable time-varying parameter of a time series

DOI10.3103/S1066530715040018zbMath1332.62273MaRDI QIDQ259851

Eduard Belitser, Paulo Serra

Publication date: 18 March 2016

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

time seriespredictable time-varying parameterrecursive tracking algorithm

Mathematics Subject Classification ID

Stochastic approximation (62L20) Sequential estimation (62L12)

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Cites Work

• Minimax filtering of the path of a dynamic system that depends on a nonparametric signal
• Asymptotically efficient recursive estimation of a nonparametric signal
• Recursive estimation of a drifted autoregressive parameter.
• Recursive Estimation of Conditional Spatial Medians and Conditional Quantiles
• Recursive Nonparametric Estimation by Observing a Trajectory of a Process with Independent Increments
• A Dynamic Stochastic Approximation Method
• A Stochastic Approximation Method
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