×

Recursive computation of M-estimates for the parameters of a finite autoregressive process. (English) Zbl 0492.62076


MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62L12 Sequential estimation
62L20 Stochastic approximation
62F35 Robustness and adaptive procedures (parametric inference)
PDF BibTeX XML Cite
Full Text: DOI