摘要
本文在讨论连续Ｗｉｅｎｅｒ过程的Ｌｅｇｅｎｄｒｅ多项式逼近值的相关性和Ｗｉｅｎｅｒ过程扰动下连续线性系统基于该正交多项式的最小二乘（ＬＳ）估计有偏性后，提出了无偏一致的且参数估计误差方差最小的Ｍａｒｋｏｖ估计（最小方差估计）算法，并给出本文方法的仿真结果。
After the correlativeness of Legendre-polynomial approx ima ting values of continuous Wiener process and the biasedness of the least-squares estimation for continuous linear systems disturbed with the process via the polynomial are discussed, Markov method with unbiased consistence and the minimum variance of the estimated errors is proposed. Finally, simulation results of the method are given.
出处
《控制与决策》
EI
CSCD
北大核心
1994年第5期372-374,378,共4页
Control and Decision
基金
冶金工业部教育司理论研究基金
关键词
随机连续系统
参数估计
多项式
orthogonal polynomial, stochastic continuous linear systems, parameter estimation, Markov estimation
