Generalized adaptive exponential smoothing of observations from an ergodic hidden Markov model

DOI10.1239/JAP/1032374749zbMath0971.60102OpenAlexW1998113260MaRDI QIDQ4954231

Ulrich Herkenrath

Publication date: 30 October 2001

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1032374749

zbMATH Keywords

law of large numberscentral limit theoreminhomogeneous Markov processexponential smoothing procedure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Special processes (60K99)

Related Items (1)

On the uniform ergodicity of Markov processes of order 2

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