Recursive prediction error parameter estimator for non-linear models

DOI10.1080/00207178908961265zbMath0669.93080OpenAlexW4250243293MaRDI QIDQ3823496

Stephen A. Billings, Sheng Chen

Publication date: 1989

Full work available at URL: https://doi.org/10.1080/00207178908961265

zbMATH Keywords

convergence analysisdifferential equation approachNARMAXm-invertibilityrecursive prediction error parameter estimation algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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