Asymptotic properties of projections with applications to stochastic regression problems

DOI10.1016/0047-259X(82)90071-9zbMath0501.62083OpenAlexW1982146243MaRDI QIDQ1172362

Tze Leung Lai, Ching-Zong Wei

Publication date: 1982

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(82)90071-9

zbMATH Keywords

martingalesautoregressive processesstrong consistencyminimum eigenvaluestochastic regression modelsalmost sure convergence properties of least-squares estimatesasymptotic properties of projectionsdynamic input-output systems

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Non-Markovian processes: estimation (62M09) System identification (93B30) Strong limit theorems (60F15) Identification in stochastic control theory (93E12)

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Cites Work

• Strong consistency of least squares estimates in multiple regression II
• Adaptive design and stochastic approximation
• Strong consistency of least squares estimators in linear regression models
• On strong consistency of least squares identification algorithms
• Strong consistency of least squares estimates in dynamic models
• Consistency and asymptotic efficiency of slope estimates in stochastic approximation schemes
• Weak and strong consistency of the least squares estimators in regression models
• Consistency of the least-squares identification method
• On laws of the iterated logarithm for local times
• Analysis of recursive stochastic algorithms
• An invariance principle for the law of the iterated logarithm
• Local Convergence of Martingales and the Law of Large Numbers
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
• Unnamed Item

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