Asymptotic Behavior of Least Squares Estimator for Nonlinear Autoregressive Models

2019/09/15 by Zhaobo Liu, Liu, Zhaobo, Chanying Li +1 · 1 citation
Engineering · Computer Science · Mathematics · #Control Systems and Identification #Matrix Theory and Algorithms #Statistical Methods and Inference

paper · pdf · doi:10.48550/arxiv.1909.06773

Abstract

This paper is concerned with the least squares estimator for a basic class of nonlinear autoregressive models, whose outputs are not necessarily to be ergodic. Several asymptotic properties of the least squares estimator have been established under mild conditions. These properties suggest the strong consistency of the least squares estimates in nonlinear autoregressive models which are not divergent.

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• Stabilizability Theorems on Discrete-time Nonlinear Uncertain Systems

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