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

DOI10.1080/00207721003706852zbMath1260.93151MaRDI 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 estimation; least squares method; coloured noise; stochastic systems; forgetting factor

Mathematics Subject Classification ID

93E10: Estimation and detection in stochastic control theory

93E24: Least squares and related methods for stochastic control systems

Related Items

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

Cites Work

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• 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