A stochastic approximation algorithm for the adaptive control of time series following generalized linear models
Date
1999Source
Journal of Time Series AnalysisVolume
20Issue
3Pages
289-308Google Scholar check
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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 estimation procedure to illustrate a connection between control theory and generalized linear models by employing a logistic regression model.