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Certain martingale methods of parameter estimation in dynamic system
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PurposeTo find martingale theory and methods of parameter vector estimation of multidimensional linear control system in dynamic system.Design/methodology/approachIn parameter vector estimation of dynamic system, due to the limitation of conventional methods, the authors study the iterative formula and consistency of parameter vector estimation using the theory and methods of martingale, and extend its application field.FindingsSome conditions of strongly consistent estimation and iterative formula are obtained. And the consistency of parameter vector estimation in multidimensional linear control system is discussed.Practical implicationsSolved some practical problems of parameter vector estimation in dynamic system.Originality/valueThe paper solve the accuracy problem of parameter vector estimation of multidimensional linear control system in dynamic system and extend parameter vector estimation application field.
Title: Certain martingale methods of parameter estimation in dynamic system
Description:
PurposeTo find martingale theory and methods of parameter vector estimation of multidimensional linear control system in dynamic system.
Design/methodology/approachIn parameter vector estimation of dynamic system, due to the limitation of conventional methods, the authors study the iterative formula and consistency of parameter vector estimation using the theory and methods of martingale, and extend its application field.
FindingsSome conditions of strongly consistent estimation and iterative formula are obtained.
And the consistency of parameter vector estimation in multidimensional linear control system is discussed.
Practical implicationsSolved some practical problems of parameter vector estimation in dynamic system.
Originality/valueThe paper solve the accuracy problem of parameter vector estimation of multidimensional linear control system in dynamic system and extend parameter vector estimation application field.
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