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A New Recursive Estimation Method for Single Input Single Output Models

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  • Abdelhamid Ouakasse
  • Guy Mélard

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  • Abdelhamid Ouakasse & Guy Mélard, 2017. "A New Recursive Estimation Method for Single Input Single Output Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(3), pages 417-457, May.
    • Handle: RePEc:bla:jtsera:v:38:y:2017:i:3:p:417-457
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    File URL: http://hdl.handle.net/10.1111/jtsa.12210
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    References listed on IDEAS

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    1. André Klein & Guy Mélard, 2004. "An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 627-648, September.
    2. Hannan, E. J. & Dunsmuir, W. T. M. & Deistler, M., 1980. "Estimation of vector ARMAX models," Journal of Multivariate Analysis, Elsevier, vol. 10(3), pages 275-295, September.
    3. Peter C. Young, 2011. "Gauss, Kalman and advances in recursive parameter estimation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(1), pages 104-146, January.
    4. Bao, Yong & Hua, Ying, 2014. "On the Fisher information matrix of a vector ARMA process," Economics Letters, Elsevier, vol. 123(1), pages 14-16.
    5. E. J. Godolphin & J. D. Godolphin, 2007. "A Note on the Information Matrix for Multiplicative Seasonal Autoregressive Moving‐Average Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(5), pages 783-791, September.
    6. André Klein & Guy Melard, 1994. "Computation of the Fisher information matrix for SISO models," ULB Institutional Repository 2013/13728, ULB -- Universite Libre de Bruxelles.
    7. André Klein & Guy Melard, 2004. "An algorithm for computing the asymptotic Fisher information matrix for seasonal SISO models," ULB Institutional Repository 2013/13746, ULB -- Universite Libre de Bruxelles.
    8. André Klein & Guy Melard & Toufik Zahaf, 1998. "Computation of the exact information matrix of Gaussian dynamic regression time series models," ULB Institutional Repository 2013/13738, ULB -- Universite Libre de Bruxelles.
    9. Teo Sharia, 2014. "Truncated stochastic approximation with moving bounds: convergence," Statistical Inference for Stochastic Processes, Springer, vol. 17(2), pages 163-179, July.
    10. Sharia, Teo, 1998. "On the recursive parameter estimation in the general discrete time statistical model," Stochastic Processes and their Applications, Elsevier, vol. 73(2), pages 151-172, March.
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