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Parameter estimation for stochastic nonlinear rational models. (English) Zbl 0782.62084
The nonlinear NARMAX model is discussed and an orthogonal parameter estimation algorithm derived to estimate both the structure and coefficients. Simulations are given to illustrate the algorithm’s performance.

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
93E03 Stochastic systems in control theory (general)
93E10 Estimation and detection in stochastic control theory
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