A convergent approximation of the continuous-time optimal parameter estimator

DOI10.1109/9.250522MaRDI QIDQ5288763zbMATH OpenOpenAlexFDO

Authors Donald M. Wiberg, Douglas G. Dewolf

Publication date 22 August 1993

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/9.250522

zbMATH Keywords

continuous-timecontinuous-time linear stochastic systemslikelihood function

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Model systems in control theory (93C99) Stochastic systems in control theory (general) (93E03)

Recommendations

• An ordinary differential equation technique for continuous-time parameter estimation
• Continuous-time constrained least-squares algorithms for recursive parameter estimation of stochastic linear systems by a stabilized output-error method
• scientific article; zbMATH DE number 4211949
• An on-line parameter estimator for quick convergence and time-varying linear systems
• Parameter estimation for partially observed linear stochastic system

Cited in

(9)

• Fixed-gain estimation in continuous time
• Constructing fixed rank optimal estimators with method of best recurrent approximations
• Design of measurement difference autocovariance method for estimation of process and measurement noise covariances
• A recursive parameter estimator yielding exponential convergence under sufficient excitation
• On the development and application of a continuous-discrete recursive prediction error algorithm
• ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS
• Continuous-time constrained least-squares algorithms for recursive parameter estimation of stochastic linear systems by a stabilized output-error method
• An ordinary differential equation technique for continuous-time parameter estimation
• Convergence analysis of an online approach to parameter estimation problems based on binary observations

This page was built for publication: A convergent approximation of the continuous-time optimal parameter estimator

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5288763)