Title :
An adaptive d-step ahead predictor based on least squares
Author :
Kwai Sang Sin ; Goodwin, G.C. ; Bitmead, R.R.
Author_Institution :
The University of Newcastle, New South Wales, Australia
Abstract :
This paper examines the asymptotic properties of a least squares algorithm for adaptively calculating a d-step ahead prediction of a time series. It is shown that, with probability one, the sample mean square difference between the recursive prediction and the optimal linear prediction converges to zero. Relatively weak assumptions are required regarding the underlying model of the time series.
Keywords :
Algorithm design and analysis; Convergence; Least squares approximation; Least squares methods; Maximum likelihood estimation; Parameter estimation; Predictive models; Silicon compounds; Stochastic processes; Upper bound;
Conference_Titel :
Decision and Control including the Symposium on Adaptive Processes, 1980 19th IEEE Conference on
Conference_Location :
Albuquerque, NM, USA
DOI :
10.1109/CDC.1980.271944
