Asymptotic Parameter Estimation for a Class of Linear Stochastic Systems Using Kalman-Bucy Filtering
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-09-01
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
The asymptotic parameter estimation is investigated for a class of linear stochastic systems with unknown parameter θ:dXt=(θα(t)+β(t)Xt)dt+σ(t)dWt.
Continuous-time Kalman-Bucy linear filtering theory is first used to estimate the unknown parameter θ based on Bayesian analysis.
Then, some sufficient conditions on coefficients are given to analyze the asymptotic convergence of the estimator.
Finally, the strong consistent property of the estimator is discussed by comparison theorem.
American Psychological Association (APA)
Kan, Xiu& Shu, Huisheng& Che, Yan. 2012. Asymptotic Parameter Estimation for a Class of Linear Stochastic Systems Using Kalman-Bucy Filtering. Mathematical Problems in Engineering،Vol. 2012, no. 2012, pp.1-15.
https://search.emarefa.net/detail/BIM-1001516
Modern Language Association (MLA)
Kan, Xiu…[et al.]. Asymptotic Parameter Estimation for a Class of Linear Stochastic Systems Using Kalman-Bucy Filtering. Mathematical Problems in Engineering No. 2012 (2012), pp.1-15.
https://search.emarefa.net/detail/BIM-1001516
American Medical Association (AMA)
Kan, Xiu& Shu, Huisheng& Che, Yan. Asymptotic Parameter Estimation for a Class of Linear Stochastic Systems Using Kalman-Bucy Filtering. Mathematical Problems in Engineering. 2012. Vol. 2012, no. 2012, pp.1-15.
https://search.emarefa.net/detail/BIM-1001516
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1001516