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Certain martingale methods of parameter estimation in dynamic system

Kong Fanliang (Department of Mathematics, Harbin University of Science and Technology, Harbin, People's Republic of China)
Wang Guizhi (College of Mathematics and Physics, Nanjing University of Information Science & Technology, Nanjing, People's Republic of China)
Ping Yu (Department of Mathematics, Harbin University of Science and Technology, Harbin, People's Republic of China)

Kybernetes

ISSN: 0368-492X

Article publication date: 17 October 2008

244

Abstract

Purpose

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To find martingale theory and methods of parameter vector estimation of multidimensional linear control system in dynamic system.

Design/methodology/approach

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In 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.

Findings

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Some 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 implications

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Solved some practical problems of parameter vector estimation in dynamic system.

Originality/value

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The paper solve the accuracy problem of parameter vector estimation of multidimensional linear control system in dynamic system and extend parameter vector estimation application field.

Keywords

Citation

Fanliang, K., Guizhi, W. and Yu, P. (2008), "Certain martingale methods of parameter estimation in dynamic system", Kybernetes, Vol. 37 No. 9/10, pp. 1409-1416. https://doi.org/10.1108/03684920810907715

Publisher

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Emerald Group Publishing Limited

Copyright © 2008, Emerald Group Publishing Limited

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