Recursive Parameter Estimation: Asymptotic expansion
Statistics Theory
2007-05-23 v1 Statistics Theory
Abstract
We consider estimation procedures which are recursive in the sense that each successive estimator is obtained from the previous one by a simple adjustment. The model considered in the paper is very general as we do not impose any preliminary restrictions on the probabilistic nature of the observation process and cover a wide class of nonlinear recursive procedures. In this paper we study asymptotic behaviour of the recursive estimators. The results of the paper can be used to determine the form of a recursive procedure which is expected to have the same asymptotic properties as the corresponding non-recursive one defined as a solution of the corresponding estimating equation.
Cite
@article{arxiv.0705.1783,
title = {Recursive Parameter Estimation: Asymptotic expansion},
author = {Teo Sharia},
journal= {arXiv preprint arXiv:0705.1783},
year = {2007}
}