Title :
Parameter estimation for linear discrete-time models with random coefficients
Author_Institution :
Inst. of Meas., Slovak Acad. of Sci., Bratislava, Czechoslovakia
fDate :
10/1/1991 12:00:00 AM
Abstract :
The problem of parameter estimation in linear discrete-time systems with random coefficients is discussed. In particular, the maximum-likelihood estimators and their consistency for the defined structure of the model are derived. The estimators have a structure similar to that of the least square estimators for the linear discrete-time system with constant coefficients
Keywords :
discrete time systems; least squares approximations; parameter estimation; probability; discrete-time system; least square estimators; linear discrete-time models; maximum-likelihood estimators; parameter estimation; random coefficients; Additive noise; Least squares approximation; Least squares methods; Maximum likelihood estimation; Optimization methods; Parameter estimation; Random processes; Random variables; Stochastic resonance; White noise;
Journal_Title :
Automatic Control, IEEE Transactions on
