Asymptotic Parameter Estimation for a Class of Linear Stochastic Systems Using Kalman-Bucy Filtering
The asymptotic parameter estimation is investigated for a class of linear stochastic systems with unknown parameter θ:dXt=(θα(t)+β(t)Xt)dt+σ(t)dWt. Continuous-time Kalman-Bucy linear filtering theory is first used to estimate the unknown parameter θ based on Bayesian analysis. Then, some sufficient...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2012-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2012/342705 |