连续时间模型选择

[1991] Proceedings of the 30th IEEE Conference on Decision and Control Pub Date : 1991-12-11 DOI:10.1109/CDC.1991.261466

L. Gerencsér, Z. Vágó

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引用次数: 4

摘要

概述了连续时间自回归系统模型选择理论的基础。定义了连续时间系统的预测随机复杂度，并研究了其渐近性质。给出了一个几乎肯定的渐近结果

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Model selection in continuous time

The foundations of a theory of model selection for continuous-time autoregressive systems is outlined. The authors define the predictive stochastic complexity for continuous-time systems and investigate its asymptotic properties. An almost sure asymptotic result is presented.<>

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[1991] Proceedings of the 30th IEEE Conference on Decision and Control

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