The Convergence of an Instrumental-Variable Like Recursion.
Technical summary rept.,
WISCONSIN UNIV-MADISON MATHEMATICS RESEARCH CENTER
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For the prediction of signals in real time it is often necessary to estimate the parameters of a signal model in real time also. A large number of these so called recursive parameter estimation schemes have been suggested and the basic question for these schemes is whether or not they converge and whether they have to be monitored to ensure they do. This work deals with the convergence analysis of one or only two known particular recursions that does not require monitoring. Author
- Statistics and Probability