Title :
A martingale Kronecker lemma and parameter estimation for linear systems
Author :
Elliott, Robert J. ; Moore, John B.
Author_Institution :
Dept. of Math. Sci., Alberta Univ., Edmonton, Alta., Canada
fDate :
9/1/1998 12:00:00 AM
Abstract :
A continuous-time martingale Kronecker lemma is proved and used to discuss parameter estimation for linear systems. The rates of convergence are discussed
Keywords :
continuous time systems; convergence of numerical methods; covariance matrices; linear systems; parameter estimation; continuous-time systems; convergence; covariance matrix; linear systems; martingale Kronecker lemma; parameter estimation; Adaptive estimation; Convergence; Linear systems; Mathematics; Maximum likelihood estimation; Parameter estimation; Stochastic processes; Systems engineering and theory;
Journal_Title :
Automatic Control, IEEE Transactions on
