An Adaptive Estimation Algorithm

References

• Alt , F. B. , Deutsch , S. J. , and Goode , J. J. , “ Estimation for the Mul-ticonsequence Intervention Model ”, Proceedings of the Statistical Computation Section , ASA , 102 – 107 ( 1977 ).
   Google Scholar
• Alt , F. B. , Deutsch , S. J. , “ Economic Control Charts for Correlated Observations ”, Transactions of the 33rd Annual Technical Conference , ASOC ( Houston ) . 743 – 750 ( 1979 ).
   Google Scholar
• Bagshaw , M. , and Johnson , R. A. , “ Sequential Procedures for Detecting Parameter Changes in a Time Series Model ”, Journal of the American Statistical Association , 72 ( 359 ), 593 – 597 ( 1977 ).
   Web of Science ®Google Scholar
• Box , G. E. P. , and Jenkins , G. W. , Time Series Analysis Forecasting and Control , San Francisco Holden Day ( 1976 ).
   Google Scholar
• Box , G. E. P. and Tiao , G. C. , “ Comparison of Forecast and Actuality ”, Appl. Statist ., 25 ( 3 ), 195 – 200 ( 1976 ).
   Web of Science ®Google Scholar
• Coopersmith , L. W. , “ Forecasting Time Series Which Are Inherently Discontinuous ”, Journal of Forecasting , Vol. 2 , 225 – 235 ( 1983 ).
   Web of Science ®Google Scholar
• Enns , P. G. , J. A. Machak , W. A. Spivey and W. J. Wrobleski , “ Forecasting Applications of an Adaptive Multiple Exponential Smoothing Model ”, Management Science , 28 ( 9 ), 1035 – 1044 ( 1982 ).
   Web of Science ®Google Scholar
• Gardner , Jr. , E. S. , “ Automatic Monitoring of Forecast Errors ”, Journal of Forecasting , Vol. 2 . 1 – 21 ( 1983 ).
   Web of Science ®Google Scholar
• Gelb , A. , Applied Optimal Estimation . Massachusette M. I. T. Press ( 1974 ).
   Google Scholar
• Jazwinski , A. H. , Stochastic Processes and Filtering Theory , New York Academic Press ( 1970 ).
   Google Scholar
• Jobson , J. D. , and W. A. Fuller , “ Least Squares Estimation when the Covariance Matrix and Parameter Vector are Functionally Related ”, Journal of the American Statistical Association , 75 ( 369 ), 176 – 181 ( 1980 ).
   Web of Science ®Google Scholar
• Montgomery , D. C. , and L. A. Johnson , Forecasting and Time Series Analysis , McGraw-Hill , New York ( 1976 ).
   Google Scholar
• Sage , A. P. , and Melsa , J. L. , Estimation Theory with Applications to Communications and Control , New York McGraw-Hill ( 1971 ).
   Google Scholar
• Sastri , T. , “ An Adaptive Autoregressive Model ”, Computer and Industrial Engineering , Vol. 9 . No. 1 , 9 – 27 ( 1985 ).
   Web of Science ®Google Scholar
• Sastri , T. , “ State Space Modeling Approach for Time Series Forecasting ”, Management Science , 31 ( 11 ), 1451 – 1470 .
   Web of Science ®Google Scholar
• Wichem , D. W. , R. B. Miller , and Der-Ann Hsu , “ Changes of Variance in First-order Autoregressive Time Series Models—with Applications ”, Applied Statistics , 25 ( 3 ), 248 – 256 ( 1976 ).
   Web of Science ®Google Scholar
• Handled by the Applied Probability: Statistics Department.
   Google Scholar