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-VzbMATH Open0923.93055OpenAlexW2025841973MaRDI QIDQ4244226FDOQ4244226

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

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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)

Cites Work

• Title not available (Why is that?)
• Performance analysis of general tracking algorithms
• BIASES OF ESTIMATORS IN MULTIVARIATE NON-GAUSSIAN AUTOREGRESSIONS
• Adaptation and tracking in system identification - a survey
• Performance analysis of the forgetting factor RLS algorithm
• 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
• Nonasymptotic results for finite-memory WLS filters
• Exact distribution and moments for the RLS estimate in a time-varying AR(1) process

Cited In (5)

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

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