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

DOI10.1134/S0005117910020141zbMath1211.93123MaRDI QIDQ1956889

L. P. Sysoev

Publication date: 24 September 2010

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

zbMATH Keywords

random perturbationsestimation of the matrix of system parametersmultidimensional linear dynamic system

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Identification in stochastic control theory (93E12) Dynamical systems in control (37N35)

Related Items (1)

Method of dummy measurements for multiple model estimation of processes in a linear stochastic system

Cites Work

• To the optimal identification of multivariate systems under perturbations of unknown covariances
• Optimal parameter estimates in regression models with special covariance structure and their use in two-factor experiments
• Recurrent estimation of the observation parameters and covariances in multidimensional systems for covariances of a special structure
• Identification of commutative covariance structures by successive testing of statistical hypotheses
• Bates and best quadratic unbiased estimators for parameters of the covariance matrix in a normal linear model
• Quadratic Subspaces and Completeness

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