Abstract
In this article, we deal with time-varying matrix estimation in continuous-time stochastic models under a coloured noise. The suggested estimation algorithm is based on the least squares method (LSM) with forgetting factor. The forming filter generating this 'coloured' noise from a standard 'white noise' is assumed to be partially known. An analysis of the convergence zone is presented. A numerical example illustrates the effectiveness of the proposed algorithm.
Original language | English |
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Pages (from-to) | 2009-2020 |
Number of pages | 12 |
Journal | International Journal of Systems Science |
Volume | 42 |
Issue number | 12 |
DOIs | |
State | Published - Dec 2011 |
Keywords
- coloured noise
- forgetting factor
- least squares method
- parameter estimation
- stochastic systems