An exponential inequality for autoregressive processes in adaptive tracking

Bernard Bercu 1, 2
2 CQFD - Quality control and dynamic reliability
IMB - Institut de Mathématiques de Bordeaux, Inria Bordeaux - Sud-Ouest
Abstract : A wide range of literature concerning classical asymptotic properties for linear models with adaptive control is available, such as strong laws of large numbers or central limit theorems. Unfortunately, in contrast with the situation without control, it appears to be impossible to find sharp asymptotic or nonasymptotic properties such as large deviation principles or exponential inequalities. Our purpose is to provide a first step towards that direction by proving a very simple exponential inequality for the standard least squares estimator of the unknown parameter of Gaussian autoregressive process in adaptive tracking.
Type de document :
Article dans une revue
Journal of Systems Science and Complexity, Springer Verlag (Germany), 2007, 20 (2), pp.243-250
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https://hal.archives-ouvertes.fr/hal-00201623
Contributeur : Bernard Bercu <>
Soumis le : mardi 1 janvier 2008 - 19:34:19
Dernière modification le : jeudi 10 septembre 2015 - 01:09:17

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  • HAL Id : hal-00201623, version 1

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Bernard Bercu. An exponential inequality for autoregressive processes in adaptive tracking. Journal of Systems Science and Complexity, Springer Verlag (Germany), 2007, 20 (2), pp.243-250. <hal-00201623>

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