A Stochastic Approximation Algorithm for the Adaptive Control of Time Series Following Generalized Linear Models

DOI10.1111/1467-9892.00138zbMATH Open0933.62088OpenAlexW2043572727MaRDI QIDQ4939807

Konstantinos Fokianos, Benjamin Kedem-Kimelfeld

Publication date: 1 March 2000

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00138

zbMATH Keywords

time seriesgeneralized linear modelsself-optimizing propertybinary autoregression model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12) Adaptive control/observation systems (93C40) Stochastic approximation (62L20)

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