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System Identification: Theory for the User, Second Edition by Lennart Ljung - Linköping University Sweden

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9. Asymptotic Distribution of Parameter Estimates

9.1 Introduction

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

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