New approach to noncausal identification of nonstationary stochastic systems subject to both smooth and abrupt parameter changes

• Published in: 2012 IEEE 51st IEEE Conference on Decision and Control (CDC) pp. 889 - 894
• Main Authors: Niedzwiecki, M., Gackowski, S.
• Format: Conference Proceeding
• Language: English
• Published: IEEE 01.12.2012
• Subjects: Algorithm design and analysis; Estimation; Mathematical model; Noise; Smoothing methods; Trajectory; Vectors

In this paper we consider the problem of finite-interval parameter smoothing for a class of nonstationary linear stochastic systems subject to both smooth and abrupt parameter changes. The proposed parallel estimation scheme combines the estimates yielded by several exponentially weighted basis func...