Recursive Least Squares Estimator with Multiple Exponential Windows in Vector Autoregression-中国期刊网

摘要 AbstractIntheparametertrackingoftime-varyingsystems,theordinarymethodisweightedleastsquareswiththerectangularwindowortheexponentialwindow.Inthispaperweproposeanewkindofslidingwindowcalledthemultipleexponentialwindow,andthenuseittofittime-varyingGaussianvectorautoregressivemodels.Theasymptoticbiasandcovarianceoftheestimatoroftheparameterfortime-invariantmodelsarealsoderived.Simulationresultsshowthatthemultipleexponentialwindowshavebetterparametertrackingeffectthanrectangularwindowsandexponentialones.

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Recursive Least Squares Estimator with Multiple Exponential Windows in Vector Autoregression

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Recursive Least Squares Estimator with Multiple Exponential Windows in Vector Autoregression

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