Recursive Estimation in Non-Linear Time Series Models of Autoregressive Type
非线性自回归型时间序列模型的递归估计
SUMMARY An adaptive estimation principle is considered for non-standard time series models; non-linear autoregressive processes in one dimension. Because of the recursive nature of the resulting estimator, it is computationally appealing, especially when a time series is considered as a flow of data. The least squares estimator is, for example, quite likely to be inferior. Asymptotic properties are derived under fairly weak assumptions, and special applications are…