Asymptotic parameter estimation for a class of linear stochastic systems using Kalman-Bucy filtering

DOI10.1155/2012/342705zbMath1264.93235OpenAlexW2044666050WikidataQ58911451 ScholiaQ58911451MaRDI QIDQ1954673

Yan Che, Xiu Kan, Huisheng Shu

Publication date: 11 June 2013

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/342705

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10)

Related Items (5)

Parameter estimation for stochastic Lotka-Volterra model driven by small Lévy noises from discrete observations ⋮ Least squares estimation for discretely observed Ornstein–Uhlenbeck process driven by small stable noises ⋮ Estimation for incomplete information stochastic systems from discrete observations ⋮ A filtering algorithm for maneuvering target tracking based on smoothing spline fitting ⋮ Optimal Kalman filtering for a class of state delay systems with randomly multiple sensor delays

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Probability-guaranteed \(H_\infty\) finite-horizon filtering for a class of nonlinear time-varying systems with sensor saturations
• Distributed \(H_\infty\)-consensus filtering in sensor networks with multiple missing measurements: the finite-horizon case
• Filtering for a class of nonlinear discrete-time stochastic systems with state delays
• Parameter estimation in linear filtering
• Parameter estimation in stochastic grey-box models.
• Maximum likelihood estimation of hidden Markov processes
• On sequential estimation of parameters in semimartingale regression models with continuous time parameter.
• Consistent parameter estimation for partially observed diffusions with small noise
• Martingale estimation functions for discretely observed diffusion processes
• Robust \(H_{\infty }\) sliding mode control for discrete time-delay systems with stochastic nonlinearities
• Parameter estimation in stochastic differential equations.
• \(H_{\infty }\) filtering on nonlinear stochastic systems with delay
• Asymptotic properties of Bayes estimators for Gaussian Itô\,-\,processes with noisy observations
• H_∞sliding mode observer design for a class of nonlinear discrete time-delay systems: A delay-fractioning approach
• A delay fractioning approach to robust sliding mode control for discrete-time stochastic systems with randomly occurring non-linearities
• Parameter estimation for diffusion type processes of observation
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Comparative study of estimation methods for continuous time stochastic processes
• The Market Model of Interest Rate Dynamics
• Robust $H_{\infty}$ Filtering for a Class of Nonlinear Networked Systems With Multiple Stochastic Communication Delays and Packet Dropouts
• Distributed Filtering for a Class of Time-Varying Systems Over Sensor Networks With Quantization Errors and Successive Packet Dropouts
• Linear Statistical Inference and its Applications

This page was built for publication: Asymptotic parameter estimation for a class of linear stochastic systems using Kalman-Bucy filtering