DocumentCode
3036587
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
fYear
1980
fDate
10-12 Dec. 1980
Firstpage
962
Lastpage
967
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control including the Symposium on Adaptive Processes, 1980 19th IEEE Conference on
Conference_Location
Albuquerque, NM, USA
Type
conf
DOI
10.1109/CDC.1980.271944
Filename
4046810
Link To Document