Parameter estimation for an exponential autoregressive time series model by the Newton search and multi-innovation theory

Abstract

ABSTRACT This paper focuses on the recursive parameter estimation problem of the exponential autoregressive (ExpAR) model. Applying the Newton search and multi-innovation theory, a multi-innovation Newton recursive algorithm is presented for identifying the ExpAR model. In order to improve the computational efficiency, the hierarchical identification principle is employed to decompose an ExpAR model into two sub-models, and to derive a hierarchical multi-innovation Newton recursive algorithm. A simulation example is provided to demonstrate the effectiveness of the proposed algorithms.