✦ LIBER ✦

On the worst-case divergence of the least-squares algorithm

✍ Scribed by Hüseyin Akçay; Brett Ninness

Publisher: Elsevier Science
Year: 1998
Tongue: English
Weight: 371 KB
Volume: 33
Category: Article
ISSN: 0167-6911
DOI: 10.1016/s0167-6911(97)00093-5

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✦ Synopsis

In this paper, we provide a ~-norm lower bound on the worst-case identification error of least-squares estimation when using FIR model structures. This bound increases as a logarithmic function of model complexity and is valid for a wide class of inputs characterized as being quasi-stationary with covariance function falling off sufficiently quickly. ~

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