On comparing restricted least squares estimators
โ Scribed by David K. Guilkey; J.Michael Price
- Publisher
- Elsevier Science
- Year
- 1981
- Tongue
- English
- Weight
- 429 KB
- Volume
- 15
- Category
- Article
- ISSN
- 0304-4076
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract A simple variational approach to the estimation of timeseries is studied in detail and mathematical rigor. The functional in question is a complexity penalized sum of squares. The results include existence and uniqueness of the statistical estimate, as well as continuous dependence and
problem of least-squares state estimation of stochastic continuous-time linear systems is reconsidered. A concise derivation of the least-squares minimal-order estimator is presented using an innouations approach. An important result is the reinstatement of the problem in a least-squares estimation