数学物理学报 ›› 1981, Vol. 1 ›› Issue (2): 177-183.

• 论文 • 上一篇    下一篇

最小二乘辨识的一致性

陈翰馥   

  1. 中国科学院系统科学研究所
  • 收稿日期:1980-07-28 出版日期:1981-06-26 发布日期:1981-06-26

CONSISTENCY OF LEAST SQUARES IDENTIFICATION

Chen Hanfu   

  1. Institute of Systems Science and Mathematical Sciences, Academia Sinica
  • Received:1980-07-28 Online:1981-06-26 Published:1981-06-26

摘要: In this paper the least squares identification (LSI) of unknown coefficient matrices in the multi-dimensional dynamic system with uncorrelated noise is considered. Various conditions guaranteeing strong consistency of the LSI are put into comparison and the conditions proposed here and weaker than the previous one's are verified to be sufficient for the consistency of the LSI for which the asymptotic behaviors are also shown in the present paper. The main result is proved for the discrete-time system and its continuous-time analogue is also demonstrated.

Abstract: In this paper the least squares identification (LSI) of unknown coefficient matrices in the multi-dimensional dynamic system with uncorrelated noise is considered. Various conditions guaranteeing strong consistency of the LSI are put into comparison and the conditions proposed here and weaker than the previous one's are verified to be sufficient for the consistency of the LSI for which the asymptotic behaviors are also shown in the present paper. The main result is proved for the discrete-time system and its continuous-time analogue is also demonstrated.