Sufficient sequences and state-space models for random processes

Author

Dickinson, Bradley W.

Author_Institution

Princeton University, Princeton, NJ, USA

Volume

Issue

fYear

1986

fDate

1/1/1986 12:00:00 AM

Firstpage

Lastpage

Abstract

Let ( $U_{1}, U_{2}$ , ...) be a sequence of observed random variables whose probability distributions are described by a parameterized family of density functions ${p_{k}(u_{1}, ..., u_{k}; \\theta)}$ . If there exists a sequence of sufficient statistics for $\\theta(T_{1}(U_{1})$ , $T_{2}(U_{1}, U_{2})$ , ...), and if a realizability assumption holds, then there is a finite-dimensional state-space model whose output process agrees with ( $U_{1}, U_{2}$ , ...) in distribution.

Keywords

Parameter estimation; Stochastic systems; Adaptive control; Adaptive filters; Adaptive systems; Density functional theory; Helium; Production; Random processes; Silicon compounds; Stability analysis; Statistical distributions;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/TAC.1986.1104103

Filename

1104103

Link To Document

https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=850623