Recursive Identification and Adaptive Prediction in Linear Stochastic Systems

DOI10.1137/0329058zbMath0756.93081OpenAlexW2091094663MaRDI QIDQ3978272

Tze Leung Lai, Zhiliang Ying

Publication date: 25 June 1992

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0329058

zbMATH Keywords

martingale limit theoremsARMAX predictorsextended stochastic Lyapunov functionlikelihood algorithms

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Adaptive control/observation systems (93C40) Identification in stochastic control theory (93E12)

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