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Parameter estimation with scarce measurements. (English) Zbl 1232.62043

Summary: The problems of parameter estimation are addressed for systems with scarce measurements. A gradient-based algorithm is derived to estimate the parameters of the input-output representation with scarce measurements, and the convergence properties of the parameter estimation and unavailable output estimation are established using the Kronecker lemma and a deterministic version of the martingale convergence theorem. Finally, an example is provided to demonstrate the effectiveness of the proposed algorithm.

MSC:

62F10 Point estimation
93B30 System identification
62H12 Estimation in multivariate analysis
93E10 Estimation and detection in stochastic control theory
65C60 Computational problems in statistics (MSC2010)

Software:

astsa
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References:

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