Convergence of continuous time stochastic ELS parameter estimation

DOI10.1016/0304-4149(87)90038-XzbMath0636.60043MaRDI QIDQ1098164

John B. Moore

Publication date: 1988

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

moving average modelsidentification of stable signal modelslinear stochastic signal modelsunstable signal

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (4)

Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement ⋮ A note on continuous-time ELS ⋮ Recursive identification in continuous-time stochastic processes ⋮ On a continuous time stochastic approximation problem

Cites Work

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• Convergence results for continuous-time adaptive stochastic filtering algorithms
• Sufficiency of excitation
• A universality advantage of stochastic excitation signals for adaptive control
• Persistence of excitation in extended least squares
• Convergence rates of continuous-time stochastic ELS parameter estimation
• Robust recursive identification of multidimensional linear regression models
• Convergence of adaptive minimum variance algorithms via weighting coefficient selection
• Global convergence of output error recursions in colored noise

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