RT Journal Article
ID 68a1b725506341a2
A1 Skorohod, Boris A.
T1 Asymptotics of Linear Recurrent Regression under Diffuse Initialization
JF Journal of Automation and Information Sciences
JO JAI(S)
YR 2009
FD 2009-07-25
VO 41
IS 5
SP 41
OP 51
K1 linear recurrent regression
K1 initial uncertainty
K1 divergence phenomenon
K1 limiting recurrent estimation algorithm
AB The behavior of recurrent least squares method in the absence of a priori information with respect to estimated unknown parameters is studied. The developed approach allows one to present its characteristics in analytical form, to explain the divergence phenomenon and to suggest a limiting recurrent estimation algorithm independent of a large parameter characterizing initial uncertainty and leading to divergence.
PB Begell House
LK http://dl.begellhouse.com/journals/2b6239406278e43e,2ae1b9cd0e8452ba,68a1b725506341a2.html