A Technical Note on the Fitting of a Multichannel Subset Fir System within a Potentially Nonstationary Environment, Using the Prewindowed Case - Financial and Economic Forecasting (Chapter 9)

The development of a recursive forward and backward time-update algorithm, together with a recursive order-update algorithm, for fitting multichannel subset FIR systems within a potentially nonstationary environment, this method is shown to be efficient and provides linkages between subset AR models and subset FIR systems at consecutive time instants.