Convergence of the forgetting factor algorithm for identifying time-varying stochastic systems
The paper deals with the correction of convergence properties of the recursive least squares algorithm with forgetting factor for the identification of linear single-input single-output time-varying systems. The upper and lower bound of the covariance matrix of the parameter estimate in dependence on the forgetting factor is establised, and the mean square estimation error is evaluated.
scientific article; zbMATH DE number 1619197