On ARX(\(\infty)\) approximation

DOI10.1016/0047-259X(90)90069-TzbMath0688.62051MaRDI QIDQ1263912

E. J. Hannan, Dawei Huang, Lei Guo

Publication date: 1990

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

zbMATH Keywords

adaptive controlregressionautoregressionlimit behaviour of double array martingalesrate of convergence of the coefficient matrices

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Adaptive control/observation systems (93C40) Estimation and detection in stochastic control theory (93E10) Strong limit theorems (60F15)

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Cites Work

• Strong consistency of least squares estimates in multiple regression II
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• On strong consistency of least squares identification algorithms
• All optimal Hankel-norm approximations of linear multivariable systems and theirL,^∞-error bounds†
• Persistence of excitation in extended least squares
• Optimal Adaptive Control and Consistent Parameter Estimates for ARMAX Model with Quadratic Cost
• The convergence of AML
• Consistency of the least-squares identification method
• On positive real transfer functions and the convergence of some recursive schemes
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
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