Recursive estimation of bilinear time series models |
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| Authors: | MM Gabr |
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| Institution: | Department of Mathematics, Faculty of Science , Alexandria University , Moharm-Bek, Alexandria, Egypt |
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| Abstract: | In this paper we are concerned with the recursive estimation of bilinear models. Some methods from linear time invariant systems are adapted to suit bilinear time series models. The time-varying Kalman filter and associated parameter estimation algorithm is carried on the bilinear time series models. The methods are illustrated with examples. |
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| Keywords: | Recursive estimation Bilinear models Kalman filter Prediction error method |
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