A note on Model Reference Adaptive System (MRAS) estimate with infinite variance |
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| Authors: | A. Thavaneswaran B. Abraham |
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| Affiliation: | Department of Statistics University of Manitoba Winnipeg, Manitoba R3T2N2, Canada;Department of Statistics and Act, Science University of Waterloo Waterloo, Ontario N2L 3G1, Canada |
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| Abstract: | ![]()
This paper discusses the estimation of a parameter in an autoregressive model with infinite variance. A recursive estimation procedure based on minimizing the prediction errors is provided. It is also shown that the model reference adaptive system estimate for an AR (1) model given in Aase (1983) is a special case. |
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| Keywords: | model reference adaptive system estimate infinite variance stable errors |
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