Title :
On tracking characteristics of weighted least squares estimators applied to nonstationary system identification
Author :
Niedzwiecki, Maciej
Author_Institution :
Dept. of Syst. Eng., Australian Nat. Univ., Canberra, ACT
fDate :
1/1/1988 12:00:00 AM
Abstract :
The parameter-tracking abilities of weighted-least-squares (WLS) estimators are characterized in terms of a suitably defined variability matrix and associated frequency characteristics. Using these concepts, the conflict arising between the estimation variance and estimation bandwidth is easily explained and quantified
Keywords :
least squares approximations; parameter estimation; time-varying systems; estimation bandwidth; estimation variance; identification; least squares approximations; nonstationary system; parameter estimation; parameter-tracking abilities; time varying systems; weighted least squares estimators; Adaptive algorithm; Convergence; Frequency estimation; Gain measurement; Least squares approximation; Linear matrix inequalities; Signal processing algorithms; Stochastic processes; Tin; Upper bound;
Journal_Title :
Automatic Control, IEEE Transactions on
