Convergence of least squares identifiers of time series with martingale difference and binary white Markov generating processes

DOI10.1080/00207728108963733zbMath0455.93055OpenAlexW2001326554MaRDI QIDQ3904485

J. Grosspietsch, Daniel Graupe

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1080/00207728108963733

zbMATH Keywords

time seriesleast squares identifiers

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

Cites Work

• Convergence of least squares identification algorithms applied to unstable stochastic processes
• Mean-square convergence of least-squares identification of white-noise-driven time-series models
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