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On-line almost-sure parameter estimation for partially observed discrete-time linear systems with known noise charateristics

Elliott, Robert J; Ford, Jason; Moore, John

Description

In this paper we discuss parameter estimators for fully and partially observed discrete-time linear stochastic systems (in state-space form) with known noise characteristics. We propose finite-dimensional parameter estimators that are based on estimates of summed functions of the state, rather than of the states themselves. We limit our investigation to estimation of the state transition matrix and the observation matrix. We establish almost-sure convergence results for our proposed parameter...[Show more]

CollectionsANU Research Publications
Date published: 2002
Type: Journal article
URI: http://hdl.handle.net/1885/91984
Source: International Journal of Adaptive Control and Signal Processing
DOI: 10.1002/acs.703

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