Title :
On consistency for the method of least squares using martingale theory
Author_Institution :
Lund Institute of Technology, Lund, Sweden
fDate :
6/1/1977 12:00:00 AM
Abstract :
Least squares identification is considered from the Bayesian point of view. A necessary and sufficient condition for consistency almost everywhere is given under the assumption that the data are generated by a regression model with white and Ganssian noise.
Keywords :
Bayes procedures; Least-squares estimation; Linear systems, stochastic discrete-time; Parameter estimation; Administrative Committee; Australia; Bayesian methods; Electrical engineering; Helium; Information theory; Least squares methods; Societies; Stochastic processes; Sufficient conditions;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1977.1101497
