An upper bound for the recursive least squares estimation error

DOI10.1109/9.412640MaRDI QIDQ4852393zbMATH OpenOpenAlexFDO

Authors A. Niederliński

Publication date 31 October 1995

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/9.412640

zbMATH Keywords

recursive least squares errorsRLS

Mathematics Subject Classification ID

Eigenvalue problems (93B60) Discrete-time control/observation systems (93C55) Least squares and related methods for stochastic control systems (93E24)

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(7)

• The inefficiency of the least squares estimator and its bound
• Recursions for the two-stage least-squares estimators
• Worst-case recovery guarantees for least squares approximation using random samples
• Bounds on the estimation error in the chain ladder method
• ON RISSANEN'S LOWER BOUND ON THE ACCUMULATED MEAN-SQUARE PREDICTION ERROR
• H/sup ∞/ bounds for least-squares estimators
• Recursive consistent estimation with bounded noise

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