On averaging methods for identification of linear regression models

Authors
Chaabane, F Touati, A
Citation
F. Chaabane et A. Touati, On averaging methods for identification of linear regression models, CR AC S I, 333(2), 2001, pp. 133-138
Citations number
8
Categorie Soggetti
Mathematics
Journal title
COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE
ISSN journal
07644442 → ACNP
Volume
333
Issue
2
Year of publication
2001
Pages
133 - 138
Database
ISI
SICI code
0764-4442(20010715)333:2<133:OAMFIO>2.0.ZU;2-8
Abstract
We combine weighting and averaging methods to construct an asymptotic confi dence region for the pair formed by the parameter and the noise-covariance of a stable linear regression model. The key toot for this is a weighted ce ntral limit theorem available on estimation errors. (C) Academic des scienc es/Editions scientifiques et medicales Elsevier SAS.