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)

zbMATH Keywords

moving average modelsidentification of stable signal modelslinear stochastic signal modelsunstable signal

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3778410 (Why is no real title available?)
• scientific article; zbMATH DE number 3513598 (Why is no real title available?)
• scientific article; zbMATH DE number 3538599 (Why is no real title available?)
• scientific article; zbMATH DE number 3628142 (Why is no real title available?)
• A universality advantage of stochastic excitation signals for adaptive control
• Convergence of adaptive minimum variance algorithms via weighting coefficient selection
• Convergence rates of continuous-time stochastic ELS parameter estimation
• Convergence results for continuous-time adaptive stochastic filtering algorithms
• Global convergence of output error recursions in colored noise
• Persistence of excitation in extended least squares
• Robust recursive identification of multidimensional linear regression models
• Sufficiency of excitation

Cited in

(6)

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

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