On Some Asymptotic Uncertainty Bounds in Recursive Least Squares Identiication
نویسنده
چکیده
This paper 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.
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