Title :
Strong approximation of the recursive prediction error estimator of the parameters of an ARMA process
Author :
Gerencsér, László
Author_Institution :
Dept. of Electr. Eng., McGill Univ., Montreal, Que., Canada
Abstract :
A theorem that settles a conjecture formulated by Tusnady is presented. The proof uses a uniqueness theorem on the asymptotic likelihood equation
Keywords :
approximation theory; parameter estimation; time series; ARMA process; approximation theory; asymptotic likelihood equation; recursive prediction error estimator; time series; uniqueness theorem; Automation; Computer errors; Cost function; Difference equations; Parameter estimation; Polynomials; Recursive estimation; Zinc;
Conference_Titel :
Decision and Control, 1989., Proceedings of the 28th IEEE Conference on
Conference_Location :
Tampa, FL
DOI :
10.1109/CDC.1989.70194
