Convergence analysis of the RLS identification algorithm with exponential forgetting in stationary ARX-structures

DOI<1::AID-ACS520>3.0.CO;2-V 10.1002/(SICI)1099-1115(199902)13:1<1::AID-ACS520>3.0.CO;2-VzbMath0923.93055OpenAlexW2025841973MaRDI QIDQ4244226

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Publication date: 2 November 1999

Full work available at URL: https://doi.org/10.1002/(sici)1099-1115(199902)13:1<1::aid-acs520>3.0.co;2-v

zbMATH Keywords

exponential forgettingfirst and second momentsMarkovian perturbationrecursive least-square identificationstationary Gaussian ARX-process

Mathematics Subject Classification ID

Least squares and related methods for stochastic control systems (93E24) Identification in stochastic control theory (93E12)

Related Items (3)

Bias compensation‐based parameter estimation for output error moving average systems ⋮ Cooperative constrained parameter estimation by ADMM-RLS ⋮ First inverse moment of a generalized quadratic form

Cites Work

• Unnamed Item
• Adaptation and tracking in system identification - a survey
• Convergence analysis of the least-squares identification algorithm with a variable forgetting factor for time-varying linear systems
• Exact distribution and moments for the RLS estimate in a time-varying AR(1) process
• BIASES OF ESTIMATORS IN MULTIVARIATE NON-GAUSSIAN AUTOREGRESSIONS
• Nonasymptotic results for finite-memory WLS filters
• Performance analysis of the forgetting factor RLS algorithm
• Bounded error identification of time-varying parameters by RLS techniques
• Performance analysis of general tracking algorithms

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