Semi-recursive nonparametric identification in the general sense of a nonlinear heteroscedastic autoregression

被引：5

作者：

Kitaeva, A. V. ^{[1
]}

Koshkin, G. M. ^{[2
]}

机构：

[1] Tomsk Polytech Univ, Tomsk, Russia

[2] Tomsk VV Kuibyshev State Univ, Tomsk 634050, Russia

来源：

AUTOMATION AND REMOTE CONTROL | 2010年 / 71卷 / 02期

基金：

俄罗斯基础研究基金会;

关键词：

TIME-SERIES;

D O I：

10.1134/S0005117910020086

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

We consider semi-recursive kernel estimates of conditional mean, volatility function, and sensitivity function for a nonlinear heteroscedastic autoregression. We find the principal parts of mean square errors for these estimates.

引用

页码：257 / 274

页数：18

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