Convergence of continuous time stochastic ELS parameter estimation

DOI10.1016/0304-4149(87)90038-XMaRDI QIDQ1098164zbMATH OpenFDO

Authors John Moore

Publication date 1988

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(87)90038-X

zbMATH Keywords

identification of stable signal modelslinear stochastic signal modelsmoving average modelsunstable signal

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

This paper presents continuous-time adaptive estimation schemes associated with a class of finite-dimensional, time-invariant, linear stochastic signal models. A global convergence theory is given for such schemes under a coloured noise/prefiller positive real condition which may be side-stepped for moving average models. Attention is first focused on extended least squares (ELS) identification of stable signal models driven by bounded inputs. Next, some convergence results for least squares (LS) estimation of unstable signal models are extracted from the earlier theory. The ELS and LS theories suggest construction of identification schemes based on both ELS and LS. (Abridged author's summary.)

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Cites work

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Cited in

(8)

• A note on continuous-time ELS
• Recursive identification in continuous-time stochastic processes
• On a continuous time stochastic approximation problem
• Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement
• Factorizations that relax the positive real condition in continuous-time and fast-sampled ELS schemes
• Continuous-time constrained least-squares algorithms for recursive parameter estimation of stochastic linear systems by a stabilized output-error method
• Convergence rates of continuous-time stochastic ELS parameter estimation
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