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Restricted exponential forgetting in real-time identification. (English) Zbl 0634.93073
This is a Bayesian type of study of the problem of how to forget outdated information in an adaptive estimation of the parameters. The procedure is illustrated with the linear Gaussian regression model. Good results of the technique are reported in the light of simulations.
Reviewer: J.Rissanen

MSC:
93E12 Identification in stochastic control theory
62A01 Foundations and philosophical topics in statistics
93C40 Adaptive control/observation systems
62J05 Linear regression; mixed models
93E10 Estimation and detection in stochastic control theory
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