Non-stationary parameter estimation for small sample situations: A comparison of methods

DOI10.1080/00207727608941915zbMath0317.93059OpenAlexW2046358481WikidataQ126248108 ScholiaQ126248108MaRDI QIDQ4079455

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Publication date: 1976

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

Full work available at URL: https://doi.org/10.1080/00207727608941915

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Applications of statistics (62P99) Signal detection and filtering (aspects of stochastic processes) (60G35) Mathematical economics (91B99)

Cites Work

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• An approach to adaptive control using real time identification
• On a Family of Lag Distributions
• The Estimation of Distributed Lags
• A Bayesian Approach to Short-term Forecasting
• Kalman filtering of systems with parameter uncertainties—a survey
• SOME THEOREMS IN LEAST SQUARES
• On the Statistical Treatment of Linear Stochastic Difference Equations
• Adaptive filtering

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