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The residual based interactive stochastic gradient algorithms for controlled moving average models. (English) Zbl 1162.93037

Summary: This paper derives a residual based Interactive Stochastic Gradient (ISG) parameter estimation algorithm for Controlled Moving Average (CMA) models and studies the performance of the residual based ISG algorithm under weaker conditions on statistical properties of the noise. Compared with the residual based extended stochastic gradient algorithm for identifying CMA models, the proposed ISG algorithm can give highly accurate parameter estimates by the simulation example.

MSC:

93E10 Estimation and detection in stochastic control theory
93E25 Computational methods in stochastic control (MSC2010)
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