Strongly consistent estimation of the order of stochastic control systems (CARMA model)

DOI10.1016/0022-247X(92)90307-YzbMath0757.93085MaRDI QIDQ1191801

Marcelo Dutra Fragoso, Elder Moreira Hemerly

Publication date: 27 September 1992

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

predictive least squaresmultidimensional CARMA systems

Mathematics Subject Classification ID

Least squares and related methods for stochastic control systems (93E24) Stochastic systems in control theory (general) (93E03)

Related Items (1)

Will the PLS criterion for order estimation work with AML and a posteriori prediction error?

Cites Work

• Consistent order estimation for linear stochastic feedback control systems (CARMA model)
• Strong consistency of the PLS criterion for order determination of autoregressive processes
• Modeling by shortest data description
• Estimating the dimension of a model
• A Predictive Least-Squares Principle
• Recursive order estimation of stochastic control systems
• Extended least squares and their applications to adaptive control and prediction in linear systems
• Convergence rate of least-squares identification and adaptive control for stochastic systems†
• Order selection for AR models by predictive least squares
• Consistent estimation of the order of stochastic control systems
• Local Convergence of Martingales and the Law of Large Numbers
• A new look at the statistical model identification
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