An exponential inequality for autoregressive processes in adaptive tracking

DOI10.1007/S11424-007-9021-6MaRDI QIDQ2461350zbMATH OpenOpenAlexFDO

Authors Bernard Bercu

Publication date 27 November 2007

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-007-9021-6

zbMATH Keywords

adaptive trackingautoregressive processexponential inequalitiesleast squaresmartingales

Mathematics Subject Classification ID

Adaptive control/observation systems (93C40) Stochastic systems in control theory (general) (93E03) Least squares and related methods for stochastic control systems (93E24)

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Cites work

• A general class of exponential inequalities for martingales and ratios
• Adaptive control of parametric nonlinear autoregressive models via a new martingale approach
• Central Limit Theorem And Law Of Iterated Logarithm For Least Squares Algorithms In Adaptive Tracking
• Deviation probability bound for martingales with applications to statistical estimation
• scientific article; zbMATH DE number 1246230 (Why is no real title available?)
• Large and moderate deviations upper bounds for the Gaussian autoregressive process
• Large deviations for quadratic forms of stationary Gaussian processes
• On large deviations in the Gaussian autoregressive process: Stable, unstable and explosive cases
• On tail probabilities for martingales
• Probability Inequalities for Sums of Bounded Random Variables
• Probability Inequalities for the Sum of Independent Random Variables
• Self-normalized processes: exponential inequalities, moment bounds and iterated logarithm laws.
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Weighted sums of certain dependent random variables

Cited in

(2)

• Exponential inequalities for self-normalized martingales
• scientific article; zbMATH DE number 817372 (Why is no real title available?)

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