Parameter estimation for linear discrete-time models with random coefficients
- 1 January 1991
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 36 (10) , 1213-1215
- https://doi.org/10.1109/9.90239
Abstract
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.Keywords
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