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

Elliott, Robert J., Ford, Jason J., & Moore, John B. (2002) On-line almost-sure parameter estimation for partially observed discrete-time linear systems with known noise characteristics. International Journal of Adaptive Control and Signal Processing, 16(6), pp. 435-453.

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Abstract

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 estimators using standard martingale convergence results, the Kronecker lemma and an ordinary differential equation approach. We also provide simulation studies which illustrate the performance of these estimators. Copyright © 2002 John Wiley & Sons, Ltd.

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4 citations in Scopus
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2 citations in Web of Science®

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ID Code: 7428
Item Type: Journal Article
Additional Information: For more information, please refer to the journal’s website (see link) or contact the author. Author contact details: j2.ford@qut.edu.au
DOI: 10.1002/acs.703
ISSN: 0890-6327
Subjects: Australian and New Zealand Standard Research Classification > ENGINEERING (090000) > ELECTRICAL AND ELECTRONIC ENGINEERING (090600) > Signal Processing (090609)
Divisions: Past > QUT Faculties & Divisions > Faculty of Built Environment and Engineering
Past > Schools > School of Engineering Systems
Copyright Owner: Copyright 2002 John Wiley & Sons
Deposited On: 04 May 2007
Last Modified: 11 Aug 2011 02:15

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