Rate of Convergence of Recursive Estimators
SIAM Journal on Control and OptimizationPublished 1 September 1992
László Gerencsér
Citations82
SJR quartileQ1
SJR score1.32
SNIP1.49
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Abstract
It is proved that the sequence of recursive estimators generated by Ljung’s scheme combined with a suitable restarting mechanism converges under certain conditions with rate $O_M (n^{{{ - 1} / 2}} )$, where the rate is measured by the $L_q $-norm of the estimation error for any $1 \leq q < \infty $.
Keywords
MathematicsDecision SciencesEconomics, Econometrics and Finance
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