On strong consistency of least squares identification algorithms

✍ Scribed by John B. Moore

• Publisher: Elsevier Science
• Year: 1978
• Tongue: English
• Weight: 462 KB
• Volume: 14
• Category: Article
• ISSN: 0005-1098
• DOI: 10.1016/0005-1098(78)90010-9

✦ Synopsis

In this paper almost sure convergence results are derived for least squares identification algorithms. The convergence conditions expressed in terms of the measurable signal model states derived for asymptotically stable signal models and possibly nonstationary processes are in essence the same as those previously given, but are derived more directly. Strong consistency results are derived for the case of signal models with unstable modes and exponential rates of convergence to the unstable modes are demonstrated. These latter convergence results are stronger than those earlier ones in which weak consistency conditions are given and there is also less restriction on the noise disturbances than in earlier theories. The derivations in the paper appeal to martingale convergence theorems and the Toeplitz lemma.