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Partial convergence of extended least squares for insufficiently excited linear systems
Author(s) -
Viano MarieClaude
Publication year - 1990
Publication title -
international journal of adaptive control and signal processing
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.73
H-Index - 66
eISSN - 1099-1115
pISSN - 0890-6327
DOI - 10.1002/acs.4480040303
Subject(s) - convergence (economics) , least squares function approximation , mathematics , recursive least squares filter , linear system , mathematical optimization , control theory (sociology) , computer science , algorithm , mathematical analysis , statistics , adaptive filter , control (management) , estimator , artificial intelligence , economics , economic growth
We establish the almost sure convergence of recursive extended least squares towards a linear space when the deterministic input fails to furnish enough excitation to the underlying ARMAX system for a consistent estimation of its coefficients. A speed of convergence is obtained.