Title :
The Wiberg estimator: continuous-time case
Author :
Wiberg, Donald M. ; DeWolf, Douglas G.
Author_Institution :
Dept. of Electr. Eng., California Univ., Los Angeles, CA, USA
Abstract :
The continuous-time optimal nonlinear filter for online parameter estimation is approximated by its first three moments and the Gaussian formula for fourth-order moments. Equations are developed for the general case in continuous time, including pole, zero, and variance parameters. Comparison is made to the recursive prediction error method in continuous time. Simulations are developed for estimating the pole parameter in a scalar system
Keywords :
filtering and prediction theory; parameter estimation; poles and zeros; Gaussian formula; Wiberg estimator; continuous-time optimal nonlinear filter; parameter estimation; pole; recursive prediction error; scalar system; variance parameters; zero; Computer aided software engineering; Convergence; Nonlinear equations; Nonlinear filters; Parameter estimation; Poles and zeros; Predictive models; Robustness; Steady-state; Transient response;
Conference_Titel :
Decision and Control, 1988., Proceedings of the 27th IEEE Conference on
Conference_Location :
Austin, TX
DOI :
10.1109/CDC.1988.194430
