Asymptotic Parameter Estimation for a Class of Linear Stochastic Systems Using Kalman-Bucy Filtering

Xiu Kan; Huisheng Shu; Yan Che

首页> 外文期刊>Mathematical Problems in Engineering >Asymptotic Parameter Estimation for a Class of Linear Stochastic Systems Using Kalman-Bucy Filtering

【24h】

Asymptotic Parameter Estimation for a Class of Linear Stochastic Systems Using Kalman-Bucy Filtering

机译：基于卡尔曼-布西滤波的一类线性随机系统的渐近参数估计

获取原文

获取原文并翻译 | 示例

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相似文献
相关主题

摘要

The asymptotic parameter estimation is investigated for a class of linear stochastic systems with unknown parameter θ : dX_t = (θ_α(t) + β(t)X_t)dt + σ{t)dW_t. 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.

机译：研究了一类参数未知的线性随机系统的渐近参数估计：dX_t =（θ_α（t）+β（t）X_t）dt +σ{t）dW_t。首先，基于贝叶斯分析，连续时间卡尔曼-Bucy线性滤波理论用于估计未知参数θ。然后，给出了一些充分的系数条件来分析估计量的渐近收敛性。最后，通过比较定理讨论了估计的强一致性质。

著录项

来源
《Mathematical Problems in Engineering》 |2012年第8期|342705.1-342705.15|共15页
作者
Xiu Kan; Huisheng Shu; Yan Che;
展开▼
作者单位

School of Information Science and Technology, Donghua University, Shanghai 200051, China;

School of Science, Donghua University, Shanghai 200051, China;

School of Information Science and Technology, Donghua University, Shanghai 200051, China;

展开▼
收录信息
原文格式 PDF
正文语种 eng
中图分类
关键词

相似文献

外文文献
中文文献
专利

1. Local asymptotic normality and estimation via Kalman-Bucy filter for linear systems driven by fractional Brownian motions [J] . Mishra M. N., Rao B. L. S. Prakasa Stochastic Analysis and Applications . 2016,第4期

机译：分数阶布朗运动驱动的线性系统的局部渐近正态性和通过卡尔曼-布西滤波器的估计
2. A Particle Filter Approach to Robust State Estimation for a Class of Nonlinear Systems with Stochastic Parameter Uncertainty [J] . Sehoon KIM, Sangchul WON IEICE Transactions on Fundamentals of Electronics, Communications and Computer Sciences . 2011,第5期

机译：一类具有随机参数不确定性的非线性系统的鲁棒状态估计的粒子滤波方法
3. Joint state filtering and parameter estimation for linear stochastic time-delay systems [J] . Michael Basin, Peng Shi, Dario Calderon-Alvarez Signal processing . 2011,第4期

机译：线性随机时滞系统的联合状态滤波和参数估计
4. Comparative study of Kalman-Bucy and sliding mode filters performance for linear stochastic systems [C] . Basin M., Rodriguez-Gonzalez J. Intelligent Control. 2003 IEEE International Symposium on . 2003

机译：线性随机系统的Kalman-Bucy和滑模滤波器性能比较研究
5. Analysis of the Stochastic Stability and Asymptotically Stationary Statistics for a Class of Nonlinear Attitude Estimation Algorithms [D] . Galante, Joseph M. 2018

机译：一类非线性姿态估计算法的随机稳定性和渐近平稳统计分析
6. Ultimately Bounded Filtering for Time-Delayed Nonlinear Stochastic Systems with Uniform Quantizations under Random Access Protocol [O] . Jiyue Guo, Zidong Wang, Lei Zou, 2020

机译：最终有限于随机接入协议下具有均匀量化的时延的非线性随机系统的界限滤波
7. Asymptotic Parameter Estimation for a Class of Linear Stochastic Systems Using Kalman-Bucy Filtering [O] . Xiu Kan, Huisheng Shu, Yan Che 2012

机译：Kalman-Bucy滤波一类线性随机系统的渐近参数估计
8. Estimation of the Covariance Parameters in Time-Discrete Linear Systems with Applications to Adaptive Filtering [R] . Smith, P. L. 1971

机译：时间 - 离散线性系统中协方差参数的估计及其在自适应滤波中的应用

Asymptotic Parameter Estimation for a Class of Linear Stochastic Systems Using Kalman-Bucy Filtering

摘要

著录项

相似文献

相关主题

期刊订阅