1. Fitting the exponential autoregressive model through recursive search.
- Author
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Xu, Huan, Wan, Lijuan, Ding, Feng, Alsaedi, Ahmed, and Hayat, Tasawar
- Subjects
- *
AUTOREGRESSIVE models , *PARAMETER estimation , *STOCHASTIC convergence , *AUTOREGRESSION (Statistics) , *PARAMETER identification - Abstract
This paper focuses on the recursive parameter estimation methods for the exponential autoregressive (ExpAR) model. Applying the negative gradient search and introducing a forgetting factor, a stochastic gradient and a forgetting factor stochastic gradient algorithms are presented. In order to improve the parameter estimation accuracy and the convergence rate, the multi-innovation identification theory is employed to derive a forgetting factor multi-innovation stochastic gradient algorithm. A simulation example is provided to test the effectiveness of the proposed algorithms. [ABSTRACT FROM AUTHOR]
- Published
- 2019
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