On the asymptotic distribution of exponentially weighted prediction error estimators
- 1 January 1988
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Acoustics, Speech, and Signal Processing
- Vol. 36 (1), 136-139
- https://doi.org/10.1109/29.1504
Abstract
The authors establish the distribution of the exponentially weighted prediction error estimators for a class of general (possibly nonlinear) discrete-time systems. An explicit formula for the covariance matrix of the estimation errors is provided. The distributional results presented hold for a large number N of data points and a weighting (or forgetting) factor lambda close to one.<>Keywords
This publication has 2 references indexed in Scilit:
- Second-order equivalence of rectangular and exponential windows in least-squares estimation of Gaussian autoregressive processesIEEE Transactions on Acoustics, Speech, and Signal Processing, 1985
- Variable forgetting factors in parameter estimationAutomatica, 1983