Central limit theorem and law of iterated logarithm for least squares algorithms in adaptive tracking

被引：17

作者：

Bercu, B ^{[1
]}

机构：

[1] Univ Paris Sud, Stat Lab, F-91405 Orsay, France

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1998年 / 36卷 / 03期

关键词：

linear regression; least squares; central limit theorem; law of iterated logarithm;

D O I：

10.1137/S0363012995294183

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In autoregressive adaptive tracking, we prove that the least squares and the weighted least squares algorithms possess the same asymptotic properties, sharing the same central limit theorem and the same law of iterated logarithm. We also obtain the same asymptotic behavior and show the limitations of these results in the autoregressive with moving average framework.

引用

页码：910 / 928

页数：19

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