Recursive Estimation for Some Nonstationary Processes

Recently a criterion for recursive estimation for some nonlinear models has been studied in Thavaneswaran and Abraham (1988). In this paper the problem of recursive estimation of signals for some linear nonstationary time series models having heavy tailed distribution as errors is discussed. It is noted that the situation treated in Thavaneswaran and Abraham (1994) is a special ease for some nonstationary models. Estimation of missing values is also discussed in some detail.