Parameter identification in infinte dimensional linear systems

DOI10.1080/17442508408833301MaRDI QIDQ3329340zbMATH OpenOpenAlexFDO

Authors Arunabha Bagchi, Vivek Borkar

Publication date 1984

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508408833301

zbMATH Keywords

infinite dimensional signal processmaximum likelihoodparameter identification

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Linear systems in control theory (93C05) Control/observation systems in abstract spaces (93C25) Identification in stochastic control theory (93E12)

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Cites work

• A submartingale type inequality with applicatinos to stochastic evolution equations
• scientific article; zbMATH DE number 3521839 (Why is no real title available?)
• Identification and model approximation for continuous-time systems on finite parameter sets
• Local behaviour of hilbert space valued stochastic integrals and the continuity of mild solutions of stochastic evolution equations
• Parameter estimation in continuous-time stochastic processes

Cited in

(27)

• Identification of a Markovian system with observations corrupted by a fractional Brownian motion
• Identification of a hereditary system with distributed delay
• Parameter identification in linear stochastic differential equations
• Parameter estimation in linear filtering
• Parameter identification for hyperbolic stochastic systems
• Maximum likelihood estimate for discontinuous parameter in stochastic hyperbolic systems
• Fixed-gain estimation in continuous time
• Spectral asymptotics of some functionals arising in statistical inference for SPDEs
• Infinite dimensional parameter identification for stochastic parabolic systems
• Parameter identification for uncertain plants using \(H^ \infty\) methods
• On asymptotic properties of maximum likelihood estimators for parabolic stochastic PDE's
• scientific article; zbMATH DE number 5006174 (Why is no real title available?)
• A note on finite-dimensional estimators for infinite-dimensional systems
• scientific article; zbMATH DE number 4070733 (Why is no real title available?)
• scientific article; zbMATH DE number 4078506 (Why is no real title available?)
• scientific article; zbMATH DE number 65814 (Why is no real title available?)
• Regularized Maximum Likelihood Estimate for an Infinite-Dimensional Parameter in Stochastic Parabolic Systems
• scientific article; zbMATH DE number 497651 (Why is no real title available?)
• Maximum likelihood estimation in linear infinite dimensional models
• On-Line Parameter Estimation for Infinite-Dimensional Dynamical Systems
• An identification problem for partially observed infinite dimensional linear stochastic systems
• Conditions for identifiability of mathematical models of evolutionary processes with partially determined initial states
• On Certain Convergence Questions in System Identification
• Joint online parameter estimation and optimal sensor placement for the partially observed stochastic advection-diffusion equation
• Parameter estimation in diagonalizable bilinear stochastic parabolic equations
• Adaptive Kalman filter for systems with unknown initial values
• Hidden ergodic Ornstein-Uhlenbeck process and adaptive filter

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