A Stochastic Approximation Algorithm for the Adaptive Control of Time Series Following Generalized Linear Models

Konstantinos Fokianos and Benjamin Kedem

Journal of Time Series Analysis, 1999, vol. 20, issue 3, 289-308

Abstract: A recursive estimation method for time series models following generalized linear models is developed in two ways. The estimation procedure, suitably modified, gives rise to a stochastic approximation scheme. We use the modified estima‐tion procedure to illustrate a connection between control theory and generalized linear models by employing a logistic regression model.

Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:20:y:1999:i:3:p:289-308

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