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ENTITY Least Squares Estimation and Adaptive Prediction in Non-Linear Stochastic Regression Models with Applications to Time Series and Stochastic Systems

Least Squares Estimation and Adaptive Prediction in Non-Linear Stochastic Regression Models with Applications to Time Series and Stochastic Systems

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    New analysis details linear system estimation under heavy-tailed noise

    Researchers have developed a new non-asymptotic analysis for estimating vector autoregressive models, particularly for systems with heavy-tailed noise. The study establishes sample complexity bounds, showing that estima…