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Avtomatika i Telemekhanika, 1984, Issue 11, Pages 49–57 (Mi at4879)  
Adaptive Systems

Study of algorithms for estimation of autoregression coefficients

Yu. Sh. Verulava, Z. N. Gorgadze, B. T. Polyak

Tbilisi, Moscow
Full-text PDF (1084 kB)
Abstract: The recurrent algorithms of Ref. [1] for evaluating autregression coefficients are rstudied by simulation. Their rate of convergence is found to depend on numerous factors; theoretical and numerical results are compared; the algorithms are found to converge for unstable models and noises with infinite variance.

Received: 05.04.1983
Bibliographic databases:
Document Type: Article
UDC: 62-501.72
Language: Russian
Citation: Yu. Sh. Verulava, Z. N. Gorgadze, B. T. Polyak, “Study of algorithms for estimation of autoregression coefficients”, Avtomat. i Telemekh., 1984, no. 11, 49–57; Autom. Remote Control, 45:11 (1984), 1428–1434
Citation in format AMSBIB
\Bibitem{VerGorPol84}
\by Yu.~Sh.~Verulava, Z.~N.~Gorgadze, B.~T.~Polyak
\paper Study of algorithms for estimation of autoregression coefficients
\jour Avtomat. i Telemekh.
\yr 1984
\issue 11
\pages 49--57
\mathnet{http://mi.mathnet.ru/at4879}
\zmath{https://zbmath.org/?q=an:0563.93075}
\transl
\jour Autom. Remote Control
\yr 1984
\vol 45
\issue 11
\pages 1428--1434
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