CENTRAL-LIMIT-THEOREM AND LAW OF ITERATED LOGARITHM FOR LEAST-SQUARESALGORITHMS IN ADAPTIVE TRACKING

Authors
BERCU B
Citation
B. Bercu, CENTRAL-LIMIT-THEOREM AND LAW OF ITERATED LOGARITHM FOR LEAST-SQUARESALGORITHMS IN ADAPTIVE TRACKING, SIAM journal on control and optimization, 36(3), 1998, pp. 910-928
Citations number
26
Categorie Soggetti
Mathematics,"Robotics & Automatic Control",Mathematics,"Robotics & Automatic Control
Journal title
SIAM journal on control and optimization → ACNP
ISSN journal
03630129
Volume
36
Issue
3
Year of publication
1998
Pages
910 - 928
Database
ISI
SICI code
0363-0129(1998)36:3<910:CALOIL>2.0.ZU;2-E
Abstract
In autoregressive adaptive tracking, we prove that the least squares a nd the weighted least squares algorithms possess the same asymptotic p roperties, sharing the same central limit theorem and the same law of iterated logarithm. We also obtain the same asymptotic behavior and sh ow the limitations of these results in the autoregressive with moving average framework.