Convergence of multi-innovation ESG parameter estimation algorithms for CARMA models

MaRDI QIDQ3571431zbMATH OpenFDO

Authors Li Yu, Yanjun Liu, Feng Ding

Publication date 8 July 2010

zbMATH Keywords

multi-innovation identificationparameter estimationstochastic gradient

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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(2)

• Multi-innovation extended stochastic gradient algorithm and its performance analysis
• The residual-based ESG algorithm and its performance analysis

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