On consistency of a generalized orthoregressive parameter estimator for a linear dynamical system

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Abstract

We obtain some conditions for consistency of generalized orthoregressive estimator for the parameters of a linear dynamical system from the observation of a large number of the independent trajectories of finite length. This leads to the consistency of the Structured Total Least Squares Estimator over the trajectory ensemble.

Keywords

linear dynamical systems parameter identification generalized orthoregressive estimator STLS estimator consistency 

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Copyright information

© Pleiades Publishing, Ltd. 2014

Authors and Affiliations

  1. 1.Sobolev Institute of MathematicsNovosibirskRussia
  2. 2.Novosibirsk State UniversityNovosibirskRussia

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