ROBUSTNESS OF EXTENDED LEAST-SQUARES ESTIMATE AGAINST MODEL ERROR IN MODELING BY ARMA PROCESS

被引：0

作者：

CHEN, HF ^{[1
]}

DENIAU, C ^{[1
]}

机构：

[1] FAC SCI LUMINY,DEPT MATH,F-13288 MARSEILLE 9,FRANCE

来源：

COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE | 1992年 / 315卷 / 10期

关键词：

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

For the vectorial and non explosive A RMA process A(z)y(n) = C(z)w(n) + epsilon(n) driven by a martingale difference sequence {w(n), F(n)} with model error epsilon(n) the ELS algorithm is used to estimate unknown coefficients of A(z) and C(z). It is shown that the estimate is strongly, consistent if(~)[GRAPHICS]

引用

页码：1103 / 1106

页数：4