数学物理学报(英文版) ›› 1991, Vol. 11 ›› Issue (3): 327-340.
陈翰馥, 郭雷, 张纪峰
H. F. Chen, L. Guo, J. F. Zhany
摘要: An LMS-like algorithm is applied for estimating the time-varying parameter θn in the linear model yn=φnτθn+vn, which is general in the sense that none of the probabilistic properties such as stationarity, Marker property, independence and ergodicity is imposed on any of the processes {yn}, {φn}, {θn} and {vn}. It is shown that the α-th moment of the estimation error is of order of the α-th moment of the observation noise and the parameter variation wn≜θn-θn-1.