On ARX([infinity]) approximation

L. Guo, D. W. Huang and E. J. Hannan

Journal of Multivariate Analysis, 1990, vol. 32, issue 1, 17-47

Abstract: Given data, uj,yj,j=1,...,n, with uj an input sequence to a system while output is yj, an approximation to the structure of the system generating yj is to be obtained by regressing yj on uj-i,yj-ii=1,...,pn, where pn increases with n. In this paper the rate of convergence of the coefficient matrices to their asymptotic values is discussed. The context is kept general so that, in particular, uj is allowed to depend on yi, i

Keywords: regression; autoregression; system; adaptive; control (search for similar items in EconPapers)
Date: 1990
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