Recurrent estimation of the observation parameters and covariances in multidimensional systems for covariances of a special structure

zbMath1054.93052MaRDI QIDQ1882044

L. P. Sysoev

Publication date: 18 October 2004

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

identificationleast-squares methodoptimal estimatesrecurrent estimationmultidimensional linear discrete-time systems

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24) Identification in stochastic control theory (93E12)

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Estimation of the matrices of parameters and covariations of the perturbation vectors in multidimensional discrete-time dynamic systems under special structure of the unknown covariance matrices

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