Model reference adaptive systems applied to regression analyses

DOI10.1111/J.1467-9574.1981.TB00723.XzbMATH Open0478.62075OpenAlexW2135222049MaRDI QIDQ3936067FDOQ3936067

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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• Minimax Adaptive Generalized Ridge Regression Estimators
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• Improved inference in linear models with additional information
• A minimax property of the Kalman filter
• A Note on Multiple-Choice Items

Cited In (1)

• Optimum portfolio diversification in a general continuous-time model

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