A New Recursive Estimation Method for Single Input Single Output Models

DOI10.1111/jtsa.12210zbMath1369.62217OpenAlexW2188504502MaRDI QIDQ5346582

Abdelhamid Ouakasse, Guy Mélard

Publication date: 26 May 2017

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

Full work available at URL: https://doi.org/10.1111/jtsa.12210

zbMATH Keywords

time seriesFisher information matrixon-line estimationrecursive estimationsingle input single output model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Uses Software

• Matlab
• System Identification Toolbox
• CAPTAIN

Cites Work

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