Rate of Convergence of Recursive Estimators

descriptionPublicationkeyboard_double_arrow_right Article 01 Sep 1992 English Publisher:Society for Industrial & Applied Mathematics (SIAM)Journal:SIAM Journal on Control and Optimization, volume 30, pages 1,200-1,227 (issn: 0363-0129, eissn: 1095-7138,

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Authors: Gerencsér, László;

doi: 10.1137/0330064

Rate of Convergence of Recursive Estimators

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Abstract

Summary: It is proved that the sequence of recursive estimators generated by Ljung's scheme combined with a suitable restarting mechanism converges under certain conditions with rate \(O_ M(n^{-1/2})\), where the rate is measured by the \(L_ q\)-norm of the estimation error for any \(1\leq q<\infty\).

Keywords

Identification in stochastic control theory, recursive estimators, Ljung's scheme, Asymptotic properties of parametric estimators

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