Abstract
This paper considers the problem of modelling discrete-time multivariable time-varying systems applying the results of stochastic realization theory for real data. A method is given for determining EεεT /of the error process ε(t) of Kalman filter/by the output covariance function in an explicite way. This gives the possibility for computing an optimal exponential forgetting factor for the output covariance function when trEεεT = min. A noniterative solution of some Riccati equations of stochastic realization theory is presented for the adaptive case. Properties of the adaptive mean are discussed and tested.
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