Bounded error identification of time-varying parameters by RLS techniques

DOI10.1109/9.284904MaRDI QIDQ4307446zbMATH OpenOpenAlexFDO

Authors Sergio Bittanti, M. C. Campi

Publication date 28 September 1994

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/47e2b1a0dbb3e0a6f7ef2885a6707fc2f284f8ef

zbMATH Keywords

covariance matrixforgetting factorrecursive least squares algorithmidentification of time-varying parameters

Mathematics Subject Classification ID

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

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(13)

• Convergence analysis of the RLS identification algorithm with exponential forgetting in stationary ARX-structures
• BIAS AND COVARIANCE OF THE RECURSIVE LEAST SQUARES ESTIMATOR WITH EXPONENTIAL FORGETTING IN VECTOR AUTOREGRESSIONS
• Asymptotically convergent modified recursive least-squares with data-dependent updating and forgetting factor for systems with bounded noise
• On exponentially weighted recursive least squares for estimating time-varying parameters and its application to computer workload forecasting
• scientific article; zbMATH DE number 1874291 (Why is no real title available?)
• A VSS identification scheme for time-varying parameters
• Performance of adaptive estimators in slowly varying parameter models
• First inverse moment of a generalized quadratic form
• An upper bound for the recursive least squares estimation error
• Exact distribution and moments for the RLS estimate in a time-varying AR(1) process
• Parameter tracking with partial forgetting method
• Convergence of the forgetting factor algorithm for identifying time-varying stochastic systems
• A recursive technique for tracking the feasible parameter set in bounded error estimation

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