Certain martingale methods of parameter estimation in dynamic system
Abstract
Purpose
To find martingale theory and methods of parameter vector estimation of multidimensional linear control system in dynamic system.
Design/methodology/approach
In parameter vector estimation of dynamic system, due to the limitation of conventional methods, the authors study the iterative formula and consistency of parameter vector estimation using the theory and methods of martingale, and extend its application field.
Findings
Some conditions of strongly consistent estimation and iterative formula are obtained. And the consistency of parameter vector estimation in multidimensional linear control system is discussed.
Practical implications
Solved some practical problems of parameter vector estimation in dynamic system.
Originality/value
The paper solve the accuracy problem of parameter vector estimation of multidimensional linear control system in dynamic system and extend parameter vector estimation application field.
Keywords
Citation
Fanliang, K., Guizhi, W. and Yu, P. (2008), "Certain martingale methods of parameter estimation in dynamic system", Kybernetes, Vol. 37 No. 9/10, pp. 1409-1416. https://doi.org/10.1108/03684920810907715
Publisher
:Emerald Group Publishing Limited
Copyright © 2008, Emerald Group Publishing Limited