Model reference adaptive systems applied to regression analyses

DOI10.1111/J.1467-9574.1981.TB00723.XMaRDI QIDQ3936067zbMATH OpenOpenAlexFDO

Authors Knut Kristian Aase

Publication date 1981

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9574.1981.tb00723.x

zbMATH Keywords

strong consistencyleast-squareslinear modelsKalman filtersstochastic convergenceJames-Stein type estimatorsridge estimatorsadaptive estimation procedure

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stochastic approximation (62L20) Adaptive control/observation systems (93C40) Estimation and detection in stochastic control theory (93E10)

Cites work

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• A Note on Multiple-Choice Items
• A minimax linear estimator for linear parameters under restrictions in form of inequalities
• A minimax property of the Kalman filter
• Improved inference in linear models with additional information
• Linear Statistical Inference and its Applications
• Minimax Adaptive Generalized Ridge Regression Estimators
• Ridge Regression: Biased Estimation for Nonorthogonal Problems

Cited in

(1)

• Optimum portfolio diversification in a general continuous-time model

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