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Zbl 0649.62060
Lai, Tze Leung; Wei, Ching Zong
Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems. (English)
[J] Ann. Stat. 10, 154-166 (1982). ISSN 0090-5364; ISSN 2168-8966/e

Strong consistency and asymptotic normality of least squares estimates in stochastic regression models are established under certain weak assumptions on the stochastic regressors and errors. We discuss applications of these results to interval estimation of the regression parameters and to recursive on-line identification and control schemes for linear dynamic systems.

MSC 2000:: *62J05 Linear regression
62M10 Time series, etc. (statistics)
93E12 System identification (stochastic systems)
93B30 System identification
93C40 Adaptive control systems
60F15 Strong limit theorems

Keywords: adaptive control; martingales; Strong consistency; asymptotic normality; least squares estimates; stochastic regression models; interval estimation; recursive on-line identification; linear dynamic systems

Cited in: Zbl 0843.62068 Zbl 0816.60028 Zbl 0669.60040

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