Title :
Convergence rates of continuous-time stochastic ELS parameter estimation
Author :
Chen, Han-Fu ; Moore, John B.
Author_Institution :
Institute of Systems Science, Academia Sinica, Beijing, China
fDate :
3/1/1987 12:00:00 AM
Abstract :
Discrete-time convergence rates for extended least squares (ELS) algorithms are generalized to the continuous-time case. An essential difference in the estimation is the appropriate prefiltering, while in the theory, the existence of solutions of the stochastic equations is a concern.
Keywords :
Least-squares methods; Linear systems, stochastic; Parameter estimation, linear systems; Stochastic systems, linear; Additive noise; Colored noise; Convergence; Integral equations; Least squares approximation; Parameter estimation; Polynomials; Stochastic processes; Stochastic resonance; Transfer functions;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1987.1104561
