Model reference adaptive systems applied to regression analyses

DOI10.1111/j.1467-9574.1981.tb00723.xzbMath0478.62075OpenAlexW2135222049MaRDI QIDQ3936067

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

least-squareslinear modelsKalman filtersstrong consistencystochastic convergenceJames-Stein type estimatorsridge estimatorsadaptive estimation procedure

Mathematics Subject Classification ID

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

Related Items (1)

Optimum portfolio diversification in a general continuous-time model

Cites Work

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

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