Asymptotic Normality of Least-Square Estimator for System Parameters and its Application |
Received:May 15, 1981 |
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Abstract: |
In this paper we prove the asymptotic normality of leastsquare estimator for system parameters using the central limit theorem for martingales. And we obtaine the criterion that distinguishes the two groups of data come from the same dynamic system or not. We prove that F=(S3(N1) N2-4n)/(S12n) has an asymptotic F-distribution with 2n and N1 N2 - 4n degrees of freedom. |
Citation: |
DOI:10.3770/j.issn:1000-341X.1982.03.014 |
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