Box, G. E. P. and Jenkins, G. M. (1976). *Time Series Analysis: Forecasting and Control*, Holden-Day, San Francisco.

Chen, R. and Tsay, R. S. (1993). Functional coefficient autoregressive models, *J. Amer. Statist. Assoc.*, **88**, 298–311.

Goodwin, G. and Sin, K. S. (1984). *Adaptive Filtering, Prediction and Control*, Prentice-Hall, Englewood-Cliffs (NJ).

Grillenzoni, C. (1990). Modeling time-varying dynamical systems, *J. Amer. Statist. Assoc.*, **85**, 499–507.

Grillenzoni, C. (1993). ARIMA processes with ARIMA parameters, *J. Bus. Econom. Statist.*, **11**, 272–289.

Grillenzoni, C. (1994). Optimal recursive estimation of dynamic models, *J. Amer. Statist. Assoc.*, **89**, 777–787.

Guo, L. and Ljung, L. (1995a). Exponential stability of general tracking algorithms, *IEEE Trans. Automat. Control*, **AC-40**, 1376–1387.

Guo, L. and Ljung, L. (1995b). Performance analysis of general tracking algorithms, *IEEE Trans. Automat. Control*, **AC-40**, 1388–1402.

Kitagawa, G. (1987). Non-gaussian state-space modeling of Nonstationary time series, *J. Amer. Statist. Assoc.*, **82**, 1032–1041.

Kitagawa, G. and Gersh, W. (1985). A smoothness priors time-varying AR coefficient modeling of nonstationary time series, *IEEE Trans. Automat. Control*, **AC-30**, 48–56.

Klimko, L. A. and Nelson, P. I. (1978). On conditional least squares estimation for stochastic processes, *Ann. Statist.*, **6**, 629–642.

Kushner, H. (1990). *Weak Convergence Methods and Singularly Perturbed Stochastic Control and Filtering Problems*, Birkhauser, Berlin.

Ljung, L. and Söderström, T. (1983). *Theory and Practice of Recursive Identification*, The MIT Press, Cambridge (MA).

Meyn, S. and Tweedie, R. (1993). *Markov Chains and Stochastic Stability*, Springer, New York.

Pagan, A. (1980). Some identification and estimation results for regression models with stochastically varying coefficients, *J. Econometrics*, **13**, 341–363.

Pourahmadi, M. (1986). On stationarity of the solution of a doubly stochastic model, *J. Time Ser. Anal.*, **7**, 123–131.

Rao, M. M. (1961). Consistency and limit distributions of estimators of parameters in explosive stochastic difference equations, *Ann. Math. Statist.*, **32**, 195–218.

Salgado, M. E., Goodwin, C. G. and Middleton, R. H. (1988). Modified least squares algorithms incorporating exponential resetting and forgetting, *Internat. J. Control*, **49**, 477–491.

Tjostheim, D. (1986). Estimation of nonlinear time series models, *Stochastic Process. Appl.*, **21**, 225–273.

Tong, H. (1990). *Nonlinear Time Series Analysis: A Dynamical System Approach*, Claredon Press, Oxford (UK).

Weiss, A. A. (1984). Systematic sampling and temporal aggregation in time series models, *J. Econometrics*, **26**, 271–281.

Widrow, B. and Stearns, S. D. (1985). *Adaptive Signal Processing*, Prentice-Hall, Englewood Cliffs (NJ).

Zellner, A., Hong, C. and Min, C. (1990). Forecasting turning points in international output growth rates, *J. Econometrics*, **49**, 275–304.