System Identification: Theory for the User, 2nd Edition

9. Asymptotic Distribution of Parameter Estimates

9.1 Introduction

Once we have understood the convergence properties of the estimate , the question arises as to how fast the estimate approaches this limit. If θ* denotes the limit, we are thus interested in the variable . We shall impose the same stochastic framework on the estimation problem as in the previous chapter. This means that will be a random variable, and its “size” can be characterized ...