A. V. Kitaeva, G. M. Koshkin, “Semi-recursive nonparametric identification in the general sense of a nonlinear heteroscedastic autoregression”, Avtomat. i Telemekh., 2010, Issue 2,Pages <nobr>92

This article is cited in 6 papers

Estimation and Filtering

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

A. V. Kitaeva^a, G. M. Koshkin^bc

^a Tomsk Polytechnic University
^b Tomsk State Uneversity
^c Department of Informatization Problems, Tomsk Scientific Center

Abstract: 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.

PACS: 02.50.Fz, 02.50.Sk

Presented by the member of Editorial Board: A. I. Kibzun

Received: 02.03.2009