An approximate nonlinear filter for simultaneous estimation of states and parameters in linear stochastic systems

Jin Seo

doi:10.1109/cdc.1985.268499

An approximate nonlinear filter for simultaneous estimation of states and parameters in linear stochastic systems

Jin Seo

https://doi.org/10.1109/cdc.1985.268499

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Publication Date: Dec 1, 1985

#Linear Stochastic Systems #Parameters In Stochastic Systems + Show 8 more

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Abstract

An approximate nonlinear filter for simultaneous estimation of states and parameters in linear stochastic systems is derived based on some asymptotic considerations. The convergence properties of the approximate nonlinear filter as a parameter estimator for linear stochastic systems are examined and comparisons with other recursive identification algorithms are made.

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