𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The estimation of a random coefficient AR(1) process under moment conditions

✍ Scribed by Jürgens, U.

Book ID
112943502
Publisher
Springer-Verlag
Year
1985
Weight
321 KB
Volume
26
Category
Article
ISSN
0039-0631

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Exact distribution and moments for the R
Exact distribution and moments for the RLS estimate in a time-varying AR(1) process
✍ B. Lindoff; J. Holst 📂 Article 📅 1996 🏛 Elsevier Science 🌐 English ⚖ 549 KB

The recursive least-squares (RLS) identification algorithm with a forgetting factor is often used to estimate time-varying parameters in stochastic systems. However, it is hard to say anything about the distribution of the parameter estimates, since they are nonlinear functions of the observations.