Discrete variable stochastic approximation procedures and recursive autoregressive model identification

DOI10.1080/00207729008910516zbMath0706.62073OpenAlexW2019845324MaRDI QIDQ3486692

Hiroshi Morita, Katsuji Uosaki

Publication date: 1990

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207729008910516

zbMATH Keywords

maximumregression functiondiscrete variablesasymptotic convergence propertybest autoregressive approximation modelrecursive autoregressive parameter updatingrecursive identification of autoregressive time series modelsrecursive order estimationtheorem of almost supermartingales

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic approximation (62L20)

Cites Work

• Stochastic complexity and modeling
• Stochastic approximation methods for constrained and unconstrained systems
• Fitting autoregressive models for prediction
• The Fitting of Time-Series Models
• Stochastic approximation on a discrete set and the multi— armed
• Recursive estimation of mixed autoregressive-moving average order
• Some recent advances in time series modeling
• Stochastic Estimation of the Maximum of a Regression Function
• A Stochastic Approximation Method

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