On some asymptotic uncertainty bounds in recursive least squares identification

Gunnarsson S.

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On some asymptotic uncertainty bounds in recursive least squares identification

机译：递推最小二乘辨识中的一些渐近不确定性边界

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This note deals with the performance of the recursive least squares algorithm when it is applied to problems where the measured signal is corrupted by bounded noise. Using ideas from bounding ellipsoid algorithms we derive an asymptotic expression for the bound on the uncertainty of the parameter estimate for a simple choice of design variables. This bound is also transformed to a bound on the uncertainty of the transfer function estimate.

机译：本说明适用于将递归最小二乘算法应用于被测信号被有界噪声破坏的问题时的性能。利用有界椭球算法的思想，我们可以为设计变量的简单选择确定参数估计的不确定性的边界。该界限也被转换为传递函数估计的不确定性的界限。

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《IEEE Transactions on Automatic Control》 |1993年第11期|P.1685-1688|共4页
作者
Gunnarsson S.;
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正文语种 eng
中图分类自动化系统;
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On some asymptotic uncertainty bounds in recursive least squares identification

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