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On Consistency for the Method of Least Squares Using Martingale Theory

Sternby, Jan (1977) In IEEE Transactions on Automatic Control 22(3). p.346-352
Abstract
Least squares identification is considered from the Bayesian point of view. A necessary and sufficient condition for consistency almost everywhere is given under the assumption that the data are generated by a regression model with white and Ganssian noise.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
IEEE Transactions on Automatic Control
volume
22
issue
3
pages
346 - 352
publisher
IEEE--Institute of Electrical and Electronics Engineers Inc.
external identifiers
  • scopus:0017506028
ISSN
0018-9286
DOI
10.1109/TAC.1977.1101497
language
English
LU publication?
no
id
7abe1ad9-8a6e-4a80-9f2f-012befbec425
date added to LUP
2018-12-16 18:31:04
date last changed
2019-01-06 14:19:52
@article{7abe1ad9-8a6e-4a80-9f2f-012befbec425,
  abstract     = {Least squares identification is considered from the Bayesian point of view. A necessary and sufficient condition for consistency almost everywhere is given under the assumption that the data are generated by a regression model with white and Ganssian noise.},
  author       = {Sternby, Jan},
  issn         = {0018-9286},
  language     = {eng},
  number       = {3},
  pages        = {346--352},
  publisher    = {IEEE--Institute of Electrical and Electronics Engineers Inc.},
  series       = {IEEE Transactions on Automatic Control},
  title        = {On Consistency for the Method of Least Squares Using Martingale Theory},
  url          = {http://dx.doi.org/10.1109/TAC.1977.1101497},
  volume       = {22},
  year         = {1977},
}