An Adaptive Algorithms for Parameter Tracking of Time-Varying Parameters

Jiro MORIMOTO; Yoshikazu YAMAMOTO; Ikunori KOBAYASHI; Nanayo FURUMOTO; Toshiaki TABUCHI

doi:10.9746/sicetr1965.33.1108

Jiro MORIMOTO, Yoshikazu YAMAMOTO, Ikunori KOBAYASHI, Nanayo FURUMOTO, Toshiaki TABUCHI

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Keywords: regression models, adaptive algorithm, parameter tracking, Kalman filter, design parameter

JOURNAL FREE ACCESS

1997 Volume 33 Issue 11 Pages 1108-1110

DOI https://doi.org/10.9746/sicetr1965.33.1108

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Abstract

Kalman filter based parameter tracking algorithm for linear regression models is developed. Main subject is to present a selection method of design parameter in the algorithm. It is shown that the algorithm proposed is asymptotically optimal in some sense.

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