To the optimal identification of multivariate systems under perturbations of unknown covariances |
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Authors: | L P Sysoev |
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Affiliation: | (1) Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia |
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Abstract: | We consider the problem of parameter and covariance estimation for multivariate stochastic systems described by regression models with special structure perturbations of unknown covariance. Sufficient conditions of uniformly optimal estimations are obtained for system parameters and covariances. The observation vector distribution family is factorized, and the full sufficient statistics is found under those conditions. Equations for uniformely optimal unbiased estimates of covariance parameters are obtained. |
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Keywords: | PACS number" target="_blank">PACS number 02 50 Ey |
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