Fixed-gain estimation in continuous time (Q1332523)
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English | Fixed-gain estimation in continuous time |
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Fixed-gain estimation in continuous time (English)
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31 August 1994
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A simple approximation for the fixed-gain parameter estimation error of a continuous-time stochastic system is considered. The error can be written as a stochastic integral plus a residual term which has moments of order \(\lambda+ o(\lambda)\) (\(\lambda\) is the forgetting factor). The result is obtained by fixed-gain estimation methods which are also called ``estimation with forgetting''. Analogous theorems for discrete and continuous time have been proved earlier by the authors.
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estimation with forgetting
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linear stochastic system
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strong approximation
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fixed-gain parameter estimation error
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continuous-time stochastic system
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stochastic integral
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