Recursive estimation of impulse response function using covariance information in linear continuous stochastic systems

DOI10.1016/S0096-3003(01)00149-7zbMath1017.62090OpenAlexW2121727412MaRDI QIDQ1855791

Seiichi Nakamori

Publication date: 28 January 2003

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0096-3003(01)00149-7

zbMATH Keywords

recursive estimationimpulse response functioncovariance informationlinear continuous-time systems

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Estimation and detection in stochastic control theory (93E10) Inference from stochastic processes (62M99) White noise theory (60H40)

Cites Work

• Design of predictor using covariance information in continuous-time stochastic systems with nonlinear observation mechanism
• An Initial-Value Theory for Fredholm Integral Equations With Semidegenerate Kernels
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