On noncausal weighted least squares identification of nonstationary stochastic systems

DOI10.1016/J.AUTOMATICA.2011.08.008zbMATH Open1228.93123OpenAlexW1967010080MaRDI QIDQ642630FDOQ642630

Authors: Maciej Niedźwiecki, Szymon Gackowski 

Publication date: 27 October 2011

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2011.08.008

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zbMATH Keywords

system identificationnonstationary processesnoncausal estimation

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Identification in stochastic control theory (93E12) Least squares and related methods for stochastic control systems (93E24)

Cites Work

• Title not available (Why is that?)
• Identification of nonstationary stochastic systems using parallel estimation schemes
• Title not available (Why is that?)
• Easy recipes for cooperative smoothing

Cited In (14)

• Optimal and suboptimal smoothing algorithms for identification of time-varying systems with randomly drifting parameters
• Use of bicausal weighting sequences in least squares identification of open-loop unstable dynamic systems
• A new look at the statistical identification of nonstationary systems
• On tracking characteristics of weighted least squares estimators applied to nonstationary system identification
• On ``cheap smoothing opportunities in identification of time-varying systems
• On the lower smoothing bound in identification of time-varying systems
• Identification of nonstationary stochastic systems using parallel estimation schemes
• New Approach to Noncausal Identification of Nonstationary Stochastic FIR Systems Subject to Both Smooth and Abrupt Parameter Changes
• Non-asymptotic state-space identification of closed-loop stochastic linear systems using instrumental variables
• Generalized Savitzky-Golay filters for identification of nonstationary systems
• Title not available (Why is that?)
• Identification of nonstationary processes using noncausal bidirectional lattice filtering
• Nonlinear system identification via direct weight optimization
• On adaptive covariance and spectrum estimation of locally stationary multivariate processes

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