CONSISTENT ESTIMATES OF THE PARAMETERS OF A LINEAR SYSTEM.

Abstract

The paper considers the identification of the transition matrix and statistical parameters of a discrete linear system excited by white noise. Estimates of these parameters are derived and shown to be strongly consistent. It is further shown that when strongly consistent estimates are used in the Kalman Filter equations that the Kalman Filter parameters and the state variable estimates so obtained are also strongly consistent. (Author)

Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1968
Accession Number
AD0675731

Entities

People

  • George B. Kleindorfer
  • Michael B. Woodroofe
  • Paul R. Kleindorfer
  • William N. Anderson Jr.

Organizations

  • Carnegie Mellon University

Tags

DTIC Thesaurus Topics

  • Equations
  • Filters
  • Identification
  • Kalman Filters
  • Linear Systems
  • Mathematics
  • Noise
  • Transitions
  • White Noise

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Regression Analysis.