Estimation of parameters of linear and nonlinear stochastic systems by the method of averaged residuals

MaRDI QIDQ1086541zbMATH OpenFDO

Authors I. P. Kornfel'd, Sh. E. Shtejnberg

Publication date 1985

Published in Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

linear and nonlinear stochastic systemsmethod of averaged residualsparameter estimates

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear systems in control theory (93C05) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10)

Review text

Asymptotic properties of estimates of parameters of linear and nonlinear stochastic systems with the aid of the method of averaged residuals are studied. Simple algebraic conditions of convergence of parameter estimates are obtained. Some results of numerical experiments illustrate the advantage of the method.

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Cited in

(3)

• Optimization of algorithms for estimating parameters of stochastic systems in conditions of indeterminacy
• Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System
• On convergence of iteration procedure for root-mean-square estimation of coefficients of linear parametric discrete models describing oscillations of systems with turbulent friction

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