Title :
A representation theorem for the error of recursive estimators
Author :
Gerencsér, László
Author_Institution :
Comput. & Autom. Inst., Hungarian Acad. of Sci., Budapest, Hungary
Abstract :
A formula for the estimation error of recursive estimators generated by Ljung´s scheme is established. It is given in the form of a strong approximation theorem, i.e., the estimation error is written as the sum of an easy-to-analyze random variable and of a residual term the Lp norms of which tend to zero with rate N -1/2-∈ with some ∈>0, for any p⩾1
Keywords :
approximation theory; error statistics; estimation theory; Ljung´s scheme; estimation error; recursive estimators; representation theorem; strong approximation theorem; Automation; Computer errors; Convergence; Equations; Estimation error; Random variables; Recursive estimation; Stability analysis; Stochastic processes; Testing;
Conference_Titel :
Decision and Control, 1992., Proceedings of the 31st IEEE Conference on
Conference_Location :
Tucson, AZ
Print_ISBN :
0-7803-0872-7
DOI :
10.1109/CDC.1992.371392
