Adaptive prediction for ARMA processes with Markov switching parameters

DOI10.1080/00207178808906060zbMath0636.93075OpenAlexW2106822699WikidataQ126244213 ScholiaQ126244213MaRDI QIDQ3777926

Xiao-Jiang Qi

Publication date: 1988

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207178808906060

zbMATH Keywords

finite-state Markov chainARMA processes with switching parametersmultiple-model prediction

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Adaptive control/observation systems (93C40) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Identification in stochastic control theory (93E12)

Cites Work

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• Adaptive estimation using parallel processing techniques
• A multi-model adaptive predictor for stochastic processes with Markov switching parameters
• A self-tuning predictor for a class of multivariable stochastic processes
• Adaptive estimation and identification for discrete systems with Markov jump parameters
• A self-tuning predictor

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