Accession Number : AD0675731

Title :   CONSISTENT ESTIMATES OF THE PARAMETERS OF A LINEAR SYSTEM.

Descriptive Note : Research rept.,

Corporate Author : CARNEGIE-MELLON UNIV PITTSBURGH PA MANAGEMENT SCIENCES RESEARCH GROUP

Personal Author(s) : Anderson,William N. , Jr. ; Kleindorfer,George B. ; Kleindorfer,Paul R. ; Woodroofe,Michael B.

Report Date : AUG 1968

Pagination or Media Count : 28

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)

Descriptors :   (*LINEAR SYSTEMS, RESPONSE), STATISTICAL PROCESSES, MATHEMATICAL PREDICTION, CONTROL SYSTEMS, MATRICES(MATHEMATICS), TOPOLOGY, INFORMATION THEORY, THEOREMS

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE