scientific article; zbMATH DE number 3982362

MaRDI QIDQ3746748zbMATH OpenFDO

Authors Tze Leung Lai, Ching-Zong Wei

Publication date 1985

zbMATH Keywords

asymptotic propertiesautoregressive modeleigenvaluesKalman filterleast squares estimatelinear dynamic systemsmartingale difference sequencemultivariate weighted sumstochastic difference equationstochastic regressionstrong consistency

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20) Inference from stochastic processes (62M99) Stochastic systems in control theory (general) (93E03)

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(12)

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• STUDENTIZING WEIGHTED SUMS OF LINEAR PROCESSES
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