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

DOI10.1002/(SICI)1099-1115(199902)13:1%3C1::AID-ACS520%3E3.0.CO;2-VMaRDI QIDQ4244226zbMATH OpenOpenAlexFDO

Authors

Publication date 2 November 1999

Full work available at URL https://doi.org/10.1002/(sici)1099-1115(199902)13:1%3C1::aid-acs520%3E3.0.co;2-v

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Recommendations

• BIAS AND COVARIANCE OF THE RECURSIVE LEAST SQUARES ESTIMATOR WITH EXPONENTIAL FORGETTING IN VECTOR AUTOREGRESSIONS
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Cites work

• scientific article; zbMATH DE number 3875113 (Why is no real title available?)
• Adaptation and tracking in system identification - a survey
• BIASES OF ESTIMATORS IN MULTIVARIATE NON-GAUSSIAN AUTOREGRESSIONS
• Bounded error identification of time-varying parameters by RLS techniques
• 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
• Nonasymptotic results for finite-memory WLS filters
• Performance analysis of general tracking algorithms
• Performance analysis of the forgetting factor RLS algorithm

Cited in

(5)

• Cooperative constrained parameter estimation by ADMM-RLS
• Exponential convergence of a modified directional forgetting identification algorithm
• First inverse moment of a generalized quadratic form
• Bias compensation-based parameter estimation for output error moving average systems
• Sequential tests of causality between environmental time series: with application to the global warming theory

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