A NOTE ON CONTINUOUS-TIME ELS

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	A NOTE ON CONTINUOUS-TIME ELS
	GUO, L
	1994-02-01
发表期刊	SYSTEMS & CONTROL LETTERS
ISSN	0167-6911
卷号	22 期号:2 页码:111-121
摘要	The 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.
关键词	STOCHASTIC SYSTEMS EXTENDED LEAST SQUARES STOCHASTIC DIFFERENTIAL EQUATION
语种	英语
WOS研究方向	Automation & Control Systems ; Operations Research & Management Science
WOS类目	Automation & Control Systems ; Operations Research & Management Science
WOS记录号	WOS:A1994MW79300004
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/27758
专题	中国科学院数学与系统科学研究院
作者单位	CHINESE ACAD SCI,INST SYST SCI,BEIJING 100080,PEOPLES R CHINA
推荐引用方式 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.