A stochastic approximation algorithm for the adaptive control of time series following generalized linear models

Fokianos, K. and Kedem, B. (1999) A stochastic approximation algorithm for the adaptive control of time series following generalized linear models. Journal of Time Series Analysis, 20 (3). pp. 289-308. ISSN 0143-9782

Abstract

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 estima‐tion procedure to illustrate a connection between control theory and generalized linear models by employing a logistic regression model.