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Parameter estimation for linear discrete-time models with random coefficients

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1 Author(s)
M. Horvath ; Inst. of Meas., Slovak Acad. of Sci., Bratislava, Czechoslovakia

The problem of parameter estimation in linear discrete-time systems with random coefficients is discussed. In particular, the maximum-likelihood estimators and their consistency for the defined structure of the model are derived. The estimators have a structure similar to that of the least square estimators for the linear discrete-time system with constant coefficients

Published in:

IEEE Transactions on Automatic Control  (Volume:36 ,  Issue: 10 )