Algorithms in time series
The use of finitely parametrized linear models such as ARMA models in
analysing time series data has been extensively studied and in recent years there has
been an increasing emphasis on the development of fast regression—based algorithms
for the problem of model identification. In this thesis we investigate the statistical
properties of pseudo—linear regression algorithms in the context of off-line and
online (real-time) identification. A review of these procedures is presented in Part...[Show more]
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