Weighted least squares and prediction

zbMath0787.62091MaRDI QIDQ1201369

Bernard Bercu, Marie Duflo

Publication date: 17 January 1993

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_1992__28_3_403_0

zbMATH Keywords

consistencyweighted least-squaresprediction errorsadaptive tracking problemalmost-surely guaranteed convergence ratesbounds on quadratic meanslinear time-invariant regression modelsstochastic-gradient parameter estimatorweighted law of large numbers for vector-valued martingalesWLS parameter estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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