On duality of regularized exponential and linear forgetting (Q674932)
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scientific article; zbMATH DE number 987776
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On duality of regularized exponential and linear forgetting |
scientific article; zbMATH DE number 987776 |
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On duality of regularized exponential and linear forgetting (English)
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6 March 1997
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It is shown that regularized versions of exponential and linear forgetting in parameter tracking are dual of each other. Both are derived by solving the same Bayesian decision problem, with Kullback-Leibler divergence used as measure of distance. Application is made to the ARX model.
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duality
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parameter estimation
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exponential forgetting
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linear forgetting
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parameter tracking
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Bayesian decision problem
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Kullback-Leibler divergence
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ARX model
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