Finite sample properties of system identification of ARX models under mixing conditions
type: Item
instance of: scholarly article
title: Finite sample properties of system identification of ARX models under mixing conditions
zbMATH Open document ID: 0981.93075
DOI: 10.1016/S0005-1098(00)00039-X
author: Erik Weyer
published in: Automatica
publication date: 2002-03-01T00:00:00Z
review text: An input-output system depending on unknown parameters is considered. In particular, the author considers ARX models with a uniformly bounded (identification) criterion function. In the literature, great attention was paid to the identification of the above-mentioned systems. Especially the asymptotic properties were investigated under the assumptions of independent random data. The aim of the author is to focus on the dependent case and, moreover, to obtain uniform probabilistic bounds based on the difference between the expected value of the identification criterion and the empirical value evaluated on the observed data. In particular, the author investigates the properties of the prediction error for a relatively small size of random samples in the case of \(\beta\)-mixing. A possible generalization to the \(\Phi\)-mixing case is mentioned. Evidently, the presented assertions generalize the known results for the independent case. The paper is completed by valuable references on mixing processes.
reviewed by: Vlasta Kaňková
Mathematics Subject Classification ID: 93E12
Mathematics Subject Classification ID: 93C57
zbMATH DE Number: 1570847
zbMATH Keywords: dependent random data
zbMATH Keywords: ARX models
zbMATH Keywords: identification
zbMATH Keywords: asymptotic properties
zbMATH Keywords: uniform probabilistic bounds
zbMATH Keywords: prediction error
zbMATH Keywords: random samples
zbMATH Keywords: \(\beta\)-mixing
MaRDI profile type: MaRDI publication profile
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full work available at URL: s0005-1098(00)00039-x
OpenAlex ID: W2006862776
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description: scientific article; zbMATH DE number 1570847