Recursive transformation matrices for linear dynamic system models

DOI10.1016/0167-9473(88)90043-6zbMath0726.62156OpenAlexW1984259008MaRDI QIDQ804199

N. E. Zubov

Publication date: 1988

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-9473(88)90043-6

zbMATH Keywords

time serieswhite noisecoloured noisesimilar modelsgeneralized exponentially weighted regressionlimiting updating vectorlinear dynamic system modelstransformation matrices

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic systems and control (93E99)

Cites Work

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