Recursive identification for multidimensional ARMA processes with increasing variance

zbMATH Open1187.62140MaRDI QIDQ866181

Han-Fu Chen

Publication date: 20 February 2007

Published in: Science in China. Series F (Search for Journal in Brave)

zbMATH Keywords

recursive estimationmartingale difference sequence

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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