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Your search keyword '"stochastic regressors"' showing total 2 results
Start Over Descriptor "stochastic regressors" Publisher the institute of mathematical statistics
2 results on '"stochastic regressors"'

1. Asymptotic Properties of Least-Squares Estimates in Stochastic Regression Models

Author

C. Z. Wei

Subjects
Statistics and Probability, Stochastic regressors, Interval estimation, Strong consistency, Regression analysis, Stochastic approximation, Least squares, Regression, least squares, martingales, 62J05, Statistics, Consistent estimator, stochastic approximation, Applied mathematics, strong consistency, Statistics, Probability and Uncertainty, 62L20, Martingale (probability theory), Mathematics
Abstract

Strong consistency of least-squares estimates in stochastic regression models is established under the assumption that the underlying model can be reparametrized so that the new design vectors are weakly correlated. An application to fixed-width interval estimation in stochastic approximation schemes is also discussed.

Published
1985

2. Least Squares Estimates in Stochastic Regression Models with Applications to Identification and Control of Dynamic Systems

Author

C. Z. Wei and Tze Leung Lai

Subjects
Statistics and Probability, Mathematical optimization, Statistics::Theory, Stochastic regressors, asymptotic normality, Least trimmed squares, Generalized least squares, adaptive control, Least squares, Robust regression, Statistics::Machine Learning, least squares, martingales, 62J05, 93C40, Statistics::Methodology, Total least squares, 60G45, Mathematics, system identification, Explained sum of squares, Local regression, dynamic models, 93B30, 62M10, strong consistency, 60F15, Statistics, Probability and Uncertainty, Nonlinear regression
Abstract

Strong consistency and asymptotic normality of least squares estimates in stochastic regression models are established under certain weak assumptions on the stochastic regressors and errors. We discuss applications of these results to interval estimation of the regression parameters and to recursive on-line identification and control schemes for linear dynamic systems.

Published
1982

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