Stochastic Systems

Asymptotic normality of sequential parameter estimation for dynamic systems

V. V. Konev, S. M. Pergamenshchikov

Tomsk

Abstract: The asymptotic properties of sequential parameter identification plans for the dynamic systems of Refs [1, 2] are studied. A limit relationship of the number of observations in a sequential procedure and the estimation accuracy are obtained. Asymptotic normality is proved of sequential estimate of autoregressive process parameters.

UDC: 62-501.72


Received: 28.09.1983

 English version: Automation and Remote Control, 1984, 45:12, 1582–1588

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