Xiao-Mian Yang

Learning Linear Systems under Heavy-Tailed Noise: A Non-Asymptotic Analysis from A Single Trajectory

We establish non-asymptotic sample complexity bounds for the least-squares estimation of vector autoregressive models for exponentially stable systems with heavy-tailed noise based on a single observed trajectory. By assuming i.i.d. noise, bounded noise covariance, and persistent excitation, we show that the estimation...