On the identification of time-varying dynamic systems by nonparametric procedures

The problem of identification of the unknown time-varying parameter in linear dynamic systems is considered. Nearest-neighbor procedures, based on the estimation of the state and its derivative, are presented. No conditions concerning the functional form of the time-varying parameter of the systems are made. If the state of the system has s derivatives, then the rate of convergence of the algorithm is O(n/sup -(s-1)///sup (1+2s)/) in probability.<
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