Comments on "On-line identification of linear dynamic systems with applications to Kalman filtering"
- 1 April 1972
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 17 (2) , 269-270
- https://doi.org/10.1109/tac.1972.1099946
Abstract
The approach to discrete system identification described in a recent paper by Mehra is shown to be one example of a whole class of instrumental variable (IV) solutions. A recursive version of this IV solution is presented and an alternative, statistically more efficient, approximate maximum likelihood procedure is outlined.Keywords
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