Adaptive estimation and prediction for an extension of the antoregressive multiple time series model

DOI10.1080/02331888808802130zbMath0668.62061OpenAlexW1969108227MaRDI QIDQ3821440

Roland Günther

Publication date: 1988

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888808802130

zbMATH Keywords

algorithmsautoregressive modelsalmost sure convergencemean square convergenceadaptive procedureexogenous variablesmultiple time series modelasymptotical optimality of the prediction

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Recursive estimation based on ARMA models
• The convergence of some recursion
• Adaptive estimation for an extension of the autoregressive time series model
• Unnamed Item