Asymptotic normality of prediction error estimators for approximate system models
- 1 January 1978
- conference paper
- Published by Institute of Electrical and Electronics Engineers (IEEE)
Abstract
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.Keywords
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