Recursive search-based identification algorithms for the exponential autoregressive time series model with coloured noise
DOI10.1049/IET-CTA.2019.0429zbMATH Open1544.93796MaRDI QIDQ6598712
Publication date: 5 September 2024
Published in: IET Control Theory \& Applications (Search for Journal in Brave)
parameter estimationtime seriesstochastic processesgradient methodscoloured noiserecursive estimationforgetting factorgradient searchunknown parametersparameter estimation accuracyoptimal step-sizeleast squares approximationsautoregressive moving average processesextended stochastic gradient algorithmexponential autoregressive time series modelmultiinnovation identification theorynonlinear exponential autoregressive modelappropriate innovation lengthaverage noiseExpARMA modelMI-ESG algorithmmultiinnovation ESG algorithmrecursive parameter estimation problemsrecursive search-based identification algorithms
Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10)
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