Time-varying matrix estimation in stochastic continuous-time models under coloured noise using LSM with forgetting factor

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.