Time-varying matrix estimation in stochastic continuous-time models under coloured noise using LSM with forgetting factor

DOI10.1080/00207721003706852zbMath1260.93151OpenAlexW2158600695MaRDI QIDQ4909039

J. Escobar, Alexander S. Poznyak

Publication date: 12 March 2013

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207721003706852

zbMATH Keywords

parameter estimationleast squares methodcoloured noisestochastic systemsforgetting factor

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24)

Related Items (3)

Instrumental variables and LSM in continuous-time parameter estimation ⋮ Dr. Alexander Semionovich Poznyak Gorbatch: Biography ⋮ Robust continuous-time matrix estimation under dependent noise perturbations: sliding modes filtering and LSM with forgetting

Cites Work

• Adaptation and tracking in system identification - a survey
• Parameter estimation of a delay dynamical system using synchronization in presence of noise
• Sliding modes time varying matrix identification for stochastic system
• State and parameter estimation for dynamic systems with colored noise: an accuracy approach based on the minimum discrepancy measure
• A new bias-compensating LS method for continuous system identification in the presence of coloured noise
• Kalman filtering for continuous-time uncertain systems with Markovian jumping parameters
• Matrix forgetting factor
• Matrix forgetting factor with adaptation
• Strong tracking filtering of nonlinear time-varying stochastic systems with coloured noise: application to parameter estimation and empirical robustness analysis

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