Asymptotic Bias in Parameter Estimation of AR‐Processes Using Recursive Least Squares with Exponential Forgetting

DOI10.1111/1467-9469.00185zbMath0940.62076OpenAlexW2061750127MaRDI QIDQ4956072

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Publication date: 24 May 2000

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00185

zbMATH Keywords

recursive least squaresbiasautoregression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Exact distribution and moments for the RLS estimate in a time-varying AR(1) process ⋮ Performance of adaptive estimators in slowly varying parameter models ⋮ First inverse moment of a generalized quadratic form

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