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math.ST2022★ 4 cited
Efficient learning of hidden state LTI state space models of unknown order
Boualem Djehiche, Othmane Mazhar
The aim of this paper is to address two related estimation problems arising in the setup of hidden state linear time invariant (LTI) state space systems when the dimension of the h…
math.ST2021★ 1 cited
Non asymptotic estimation lower bounds for LTI state space models with Cramér-Rao and van Trees
Boualem Djehiche, Othmane Mazhar
We study the estimation problem for linear time-invariant (LTI) state-space models with Gaussian excitation of an unknown covariance. We provide non asymptotic lower bounds for the…
math.ST2019
Finite impulse response models: A non-asymptotic analysis of the least squares estimator
Boualem Djehiche, Othmane Mazhar, Cristian R. Rojas
We consider a finite impulse response system with centered independent sub-Gaussian design covariates and noise components that are not necessarily identically distributed. We deri…