Time-varying matrix estimation in stochastic continuous-time models under coloured noise using LSM with forgetting factor

J. Escobar and A. Poznyak

International Journal of Systems Science, 2011, vol. 42, issue 12, 2009-2020

Abstract: In this article, we deal with time-varying matrix estimation in continuous-time stochastic models under a coloured noise. The suggested estimation algorithm is based on the least squares method (LSM) with forgetting factor. The forming filter generating this ‘coloured‘ noise from a standard ‘white noise’ is assumed to be partially known. An analysis of the convergence zone is presented. A numerical example illustrates the effectiveness of the proposed algorithm.

Date: 2011
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DOI: 10.1080/00207721003706852

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