Emprical distribution for linear system identification

DOI10.1080/07362999908809601MaRDI QIDQ4237957zbMATH OpenOpenAlexFDO

Authors K. Yin, Ben G. Fitzpatrick, George Yin

Publication date 1 June 1999

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999908809601

zbMATH Keywords

asymptotic propertiesempirical distributionsgoodness of fit testsleast squares identificationscaled sequencestatistical inference

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Identification in stochastic control theory (93E12)

Review text

Asymptotic properties of empirical distributions are considered in the case of approximate errors for least squares identification. The goal of the paper is to analyze the large sample behavior of such a distribution. It is first proven that it converges to the error distribution. Then a scaled sequence is proved to converge to a Gaussian process with a Brownian bridge component. These results are useful for carrying out statistical inference tasks, goodness of fit tests, and related matters.

Recommendations

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• Identification error bounds and asymptotic distributions for systems with structural uncertainties
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Cites work

• A stopping rule for least-squares identification
• Convergence rate of least-squares identification and adaptive control for stochastic systems†
• Discrete Time Stochastic Adaptive Control
• Estimation of the Distribution of Noise in an Autoregression Scheme
• scientific article; zbMATH DE number 3878095 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• On positive real transfer functions and the convergence of some recursive schemes
• The convergence of AML
• Weak convergence of the sample distribution function when parameters are estimated

Cited in

(3)

• scientific article; zbMATH DE number 475520 (Why is no real title available?)
• scientific article; zbMATH DE number 794284 (Why is no real title available?)
• On resampling and uncertainty estimation in linear system identification

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