On some Asymptotic Uncertainty Bounds in Recursive Least Squares Identification
1992 (English)Report (Other academic)
This note deals with the performance of the recursive least squares algorithm when it is applied to problems where the measured signal is corrupted by bounded noise. Using ideas from bounding ellipsoid algorithms we derive an asymptotic expression for the bound on the uncertainty of the parameter estimate for a simple choice of design variables. This bound is also transformed to a bound on the uncertainty of the transfer function estimate.
Place, publisher, year, edition, pages
Linköping: Linköping University , 1992.
LiTH-ISY-I, ISSN 8765-4321 ; 1368
Recursive identification, Uncertainty bounds, Least squares approximations, Transfer functions
IdentifiersURN: urn:nbn:se:liu:diva-55555OAI: oai:DiVA.org:liu-55555DiVA: diva2:316363