On recursive estimation for time varying autoregressive processes

Annals of Statistics

Volumn 33, Issue 6, 2005, Pages 2610-2654

  Moulines, Eric ^a   Priouret, Pierre ^b   Roueff, François ^a  

^a INSTITUT TELECOM   (France)

^b University of Paris VII LPSM partially supported by ERC Starting Grant 680275 MALIG   (France)

Author keywords

Locally stationary processes; Nonparametric estimation; Recursive estimation; Time varying autoregressive model

Indexed keywords

EID: 33644917699     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/009053605000000624     Document Type: Article

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