Laws of iterated logarithm for state variables with applications |
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| Authors: | Chen Hanfu Guo Lei |
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| Institution: | (1) Institute of Systems Science, Academia Sinica, China |
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| Abstract: | Letx
k be the state variable (solution) of a stochastic difference equation. This paper gives the laws of iterated logarithm for
{x
k} and {x
kx
k
τ
}, which being strongly correlated, are neither stationary nor ergodic. The results obtained are then applied to Kalman filter
and LQG control problem.
Work supported by National Natural Science Foundation of China and the TWAS Research Grant No. 87-43. |
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| Keywords: | |
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