Optimal estimation policies of stochastic linear systems with time- varying parameters

DOI10.1016/0898-1221(92)90188-NzbMath0781.93086MaRDI QIDQ1202460

Panagiotis A. Papakyriazis

Publication date: 11 February 1993

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

parameter estimationwhite noise disturbanceslinear discrete time model

Mathematics Subject Classification ID

Linear inference, regression (62J99) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic learning and adaptive control (93E35)

Cites Work

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• A brief introduction to the methodology of optimal experimental design
• Optimal experimental design in econometrics. The time series problem
• Optimization of stochastic systems. Topics in discrete-time systems
• Optimal experimental control in econometrics: the simultaneous equation problem
• On maximum information strategies for estimation of stochastic multiple response systems
• Restrictions on the Reduced Form and the Rank and Order Conditions
• A Maximum Principle of the Pontryagin Type for Systems Described by Nonlinear Difference Equations

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