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On recursive adaptive filtering: Linear case

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Stochastic Differential Systems

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 126))

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References

  1. T. Bielecki, B. Gołdys, Recursive Estimation of Parameters for Partially Observed Linear Stochastic Differential Systems, Preprint IM PAN, 1988.

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  2. Chen Han Fu, Guo Lei, Strong Consistency of Parameter Estimates for Discrete-Time Stochastic Systems, J. Sys. Sci. and Math. Scis. vol. 5 (1985), 81–93.

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  3. M.H.A. Davis, Linear Estimation and Stochastic Control, 1977, London, Chapmen and Hall.

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  4. R. Kumar, J.B. Moore, Convergence of Adaptive Minimum Variance Algorithms via Weighting Coefficients Selection, IEEE Trans. Automat. Control, vol. AC-27, pp. 146–153, Feb. 1982.

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  5. J.H. van Schuppen, Convergence Results for Continuous-Time Adaptive Stochastic Filtering Algorithms, J. Math. Anal. Appl. vol. 96 (1983), 209–225.

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  6. C.A. Desoer, M. Vidyagasar, Fedback Systems: Input-Output Properties, Academic Press, New York, 1975.

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  7. M. Wohnam, Linear Multivariable Control: a Geometric Approach, Springer-Verlag, New York, 1979, second edition.

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Author information

Authors and Affiliations

  1. Institute of Econometrics, The Main College of Planning and Statistics, Al. Niepodległości 162, 02-554, Warsaw, Poland

    T. Bielecki

  2. Institute of Mathematics, Polish Academy of Sciences, Šniadeckich 8, P.O. Box 137, 00-950, Warsaw, Poland

    B. Gołdys

Authors
  1. T. Bielecki
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  2. B. Gołdys
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Editor information

Norbert Christopeit Kurt Helmes Michael Kohlmann

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© 1989 Springer-Verlag

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Bielecki, T., Gołdys, B. (1989). On recursive adaptive filtering: Linear case. In: Christopeit, N., Helmes, K., Kohlmann, M. (eds) Stochastic Differential Systems. Lecture Notes in Control and Information Sciences, vol 126. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0043774

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  • DOI: https://doi.org/10.1007/BFb0043774

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-51299-8

  • Online ISBN: 978-3-540-46188-3

  • eBook Packages: Springer Book Archive

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