Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
698329 | Automatica | 2008 | 6 Pages |
Abstract
In certain applications of nonstationary system identification the model-based decisions can be postponed, i.e. executed with a delay. This allows one to incorporate in the identification process not only the currently available information, but also a number of “future” data points. The resulting estimation schemes, which involve smoothing, are not causal. Assuming that the infinite observation history is available, the paper establishes the lower steady-state estimation bound for any noncausal estimator applied to a linear system with randomly drifting coefficients (under Gaussian assumptions). This lower bound complements the currently available one, which is restricted to causal estimators.
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Maciej Niedźwiecki,