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SUMMARY:Recursive parameter estimation procedures - Dr Teo Sharia\, Lectur
 er in Statistics\, Royal Holloway \, University of London
DTSTART:20111123T141500Z
DTEND:20111123T150000Z
UID:TALK32951@talks.cam.ac.uk
CONTACT:Rachel Fogg
DESCRIPTION:Parameter estimation procedures  will be discussed for some im
 portant classes of statistical models \nusing ideas of stochastic approxim
 ation theory. Stochastic approximation is a method to  locate a root of an
  unknown function when  only noisy measurements  of  the function  can  be
  observed. These procedures naturally allow for on-line implementation and
  do not require storing all the data\, which is particularly convenient fo
 r sequential data processing.\nIn particular\, new  procedures for estimat
 ing autoregressive parameters in $AR(m)$ models will be\nconsidered. The p
 roposed method allows for incorporation of auxiliary information into the 
  estimation process\, and is consistent and asymptotically efficient under
  certain regularity conditions. \n
LOCATION: LR3\, Cambridge University Engineering Department
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