Stochastic Systems

Sequential parameter estimation for dynamical systems in the presence of multiplicative and additive noises in the observations

V. A. Vasil'ev, V. V. Konev

Tomsk

Abstract: Sequences of estimating the parameters of linear dynamic systems are obtained in face of multiplicative and additive noises in observations. Parameters of a stable autoregression processes are found estimable within finite time with desired accuracy, the knowledge of noise distribution which dictates the process dynamics or of additive and multiplicative noises in the measurement channels being unnecessary.

UDC: 62-501.4, 621.3.019.4


Received: 10.01.1984

 English version: Automation and Remote Control, 1985, 46, 706–716

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