Accession Number : AD0746065

Title :   Estimation of Parameters in a Partially Specified Stochastic System,

Corporate Author : PURDUE UNIV LAFAYETTE IND SCHOOL OF ELECTRICAL ENGINEERING

Personal Author(s) : Kashyap,R. L.

Report Date : FEB 1972

Pagination or Media Count : 27

Abstract : A partially specified stochastic linear system is one in which the input disturbance is uncorrelated with only a finite number of the previous values of the noise, output and the control input. The remaining higher order correlation coefficients of the noise are unspecified. In particular, the input disturbance could be a discrete white noise. The author develops a recursive algorithm for the estimation of the coefficients in a partially specified linear system, proves the consistency of the estimates, and illustrates the technique by numerical examples. Simulation studies indicate that the variance of the estimate is of the same order as the Cramer-Rao lower bound, even for sample sizes as small as 50. (Author)

Descriptors :   (*ADAPTIVE CONTROL SYSTEMS, MATHEMATICAL MODELS), STOCHASTIC PROCESSES, LINEAR SYSTEMS, DIFFERENCE EQUATIONS, WHITE NOISE, THEOREMS, TRANSFER FUNCTIONS

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE