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A stochastic approximation algorithm for the adaptive control of time series following generalized linear models

Research output: Contribution to journalJournal article

Published
<mark>Journal publication date</mark>05/1999
<mark>Journal</mark>Journal of Time Series Analysis
Issue number3
Volume20
Number of pages20
Pages (from-to)289-308
Publication statusPublished
Original languageEnglish

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.