Non-convergence of the approximate maximum likelihood identification algorithm

DOI10.1016/0005-1098(80)90058-8zbMath0428.93067OpenAlexW2054398636MaRDI QIDQ1137555

V. Panuska

Publication date: 1980

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(80)90058-8

zbMATH Keywords

non-convergenceapproximate maximum likelihood identification algorithm

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Identification in stochastic control theory (93E12)

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Convergence analysis of ladder algorithms for AR and ARMA models, A theoretical analysis of recursive identification methods, Non-convergence of the approximate maximum likelihood identification algorithm, Suboptimal control of linear stochastic multivariable systems with unknown parameters, A new algorithm for recursive estimation of parameters in controlled ARMA processes, Theory and applications of selftuning regulators, System identification. A survey, Fast GLS algorithm for parameter estimation, On-line identification of parameters of a linear multivariable discrete- time system and their convergence characteristics

Cites Work

• Theory and applications of adaptive control - a survey
• Non-convergence of the approximate maximum likelihood identification algorithm
• A new form of the extended Kalman filter for parameter estimation in linear systems with correlated noise
• Counterexamples to general convergence of a commonly used recursive identification method
• On positive real transfer functions and the convergence of some recursive schemes
• Estimation of parameters in a partially whitened representation of a stochastic process
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