Abstract
The overview of some results of [2], [3] on estimation of parameters in linear systems is presented. Some recent results of [4] concerning estimation of f′(0) (f(x) is a drift vector) for nonlinear systems are discussed too. It is shown that conditions for an existence of a consistent, and the more, asymptotically efficient estimator for f′(0) are essentially less restrictive for the stable in probability systems. Some simple mechanical examples are presented and discussed.
Partially supported by NSF Grant DMS 9979971608
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References
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Khasminskii, R.Z. (2003). On Parameter Estimation for Linear and Nonlinear Stochastic Systems. In: Namachchivaya, N.S., Lin, Y.K. (eds) IUTAM Symposium on Nonlinear Stochastic Dynamics. Solid Mechanics and Its Applications, vol 110. Springer, Dordrecht. https://doi.org/10.1007/978-94-010-0179-3_20
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DOI: https://doi.org/10.1007/978-94-010-0179-3_20
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