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Asymptotic Normality of Prediction Error Estimators for Approximate System Models
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Harvard University, MA, USA.
1978 (English)In: Proceedings of the 1978 IEEE Conference on Decision and Control including the 17th Symposium on Adaptive Processes, 1978, 927-932 p.Conference paper (Refereed)
Abstract [en]

A general class of parameter estimation methods for stochastic dynamical systems is studied. The class contains the least squares method, output-error methods, the maximum likelihood method and several other techniques. It is shown that the class of estimates so obtained are asymptotically normal and expressions for the resulting asymptotic covariance matrices are given. The regularity conditions that are imposed to obtain these results are fairly weak. It is, for example, not assumed that the true system can be described within the chosen model set, and, as a consequence, the results in this paper form a part of the so-called approximate modeling approach to system identification. It is also noteworthy that arbitrary feedback from observed system outputs to observed system inputs is allowed and that stationarity is not required.

Place, publisher, year, edition, pages
1978. 927-932 p.
Keyword [en]
Output-error methods, Maximum likelihood, System identification
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-101005DOI: 10.1109/CDC.1978.268066OAI: diva2:664731
1978 IEEE Conference on Decision and Control including the 17th Symposium on Adaptive Processes, San Diego, USA, January, 1978
Available from: 2013-11-16 Created: 2013-11-16 Last updated: 2014-02-21

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Ljung, Lennart
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Automatic ControlThe Institute of Technology
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ReferencesLink to record
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