Abstract
A selection method of time-variable forgetting factor is presented for least squares parameter estimator. The method is based on the monitoring of the statistical behavior of the residual. Then the forgetting factor is selected so as to adapt the residual variance caluculated from the estimator to the acutual one. AIC is used for the monitoring the statistical behavior of the residual.
Bounds on the time evolution of estimation error are discussed. It is also shown that the proposed method gives acceptable performance in the numerical experiments.
