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A NOTE ON CONTINUOUS-TIME ELS
GUO, L
1994-02-01
Source PublicationSYSTEMS & CONTROL LETTERS
ISSN0167-6911
Volume22Issue:2Pages:111-121
AbstractThe parameter estimation of continuous-time finite-dimensional linear stochastic systems is a problem of long-standing interest. The method usually used is the extended least-squares (ELS) algorithm described by a nonlinear stochastic differential equation (SDE), with the existence of the global strong solution assumed. This paper shows that the ELS estimate does exist in [0, infinity), and at the same time presents a number of convergence results paralleling those for the discrete-time case.
KeywordSTOCHASTIC SYSTEMS EXTENDED LEAST SQUARES STOCHASTIC DIFFERENTIAL EQUATION
Language英语
WOS Research AreaAutomation & Control Systems ; Operations Research & Management Science
WOS SubjectAutomation & Control Systems ; Operations Research & Management Science
WOS IDWOS:A1994MW79300004
PublisherELSEVIER SCIENCE BV
Citation statistics
Cited Times:6[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/27758
Collection中国科学院数学与系统科学研究院
AffiliationCHINESE ACAD SCI,INST SYST SCI,BEIJING 100080,PEOPLES R CHINA
Recommended Citation
GB/T 7714
GUO, L. A NOTE ON CONTINUOUS-TIME ELS[J]. SYSTEMS & CONTROL LETTERS,1994,22(2):111-121.
APA GUO, L.(1994).A NOTE ON CONTINUOUS-TIME ELS.SYSTEMS & CONTROL LETTERS,22(2),111-121.
MLA GUO, L."A NOTE ON CONTINUOUS-TIME ELS".SYSTEMS & CONTROL LETTERS 22.2(1994):111-121.
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