Fixed-gain estimation in continuous time |
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Authors: | László Gerencsér Zsuzsanna Vágó |
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Institution: | (1) Computer and Automation Institute of the Hungarian Academy of Sciences, Budapest, Hungary |
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Abstract: | We prove that the parameter estimation error of continuous-time linear stochastic systems that is obtained in connection with a fixed-gain estimation method can be written as a stochastic integral plus a residual term, the moments of which are of order+o(1) where is the forgetting factor. |
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Keywords: | 62F12 62A10 60G10 |
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