Autoregressive models in stochastic approximation algorithms for parameter estimation

DOI10.1080/00207727908941609MaRDI QIDQ4187673zbMATH OpenOpenAlexFDO

Authors

Publication date 1979

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207727908941609

zbMATH Keywords

Parameter EstimationAutoregressive ModelsUnbiased EstimateDiagonal Matrix GainLinear Discrete Time SystemsMeasurement NoiseScalar GainSquare Matrix GainStochastic Approximation Algorithms

Mathematics Subject Classification ID

System identification (93B30) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Cites work

• scientific article; zbMATH DE number 3223253 (Why is no real title available?)
• On the stochastic approximation method and optimal fittering theory

Cited in

(1)

• Identification of stochastic linear systems in presence of input noise

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