ON LEAST SQUARES ESTIMATION IN CONTINUOUS TIME LINEAR STOCHASTIC SYSTEMS
Tyrone E. Duncan, Petr Mandl, Bożenna Pasik-Duncan · Czech digital mathematics library · 1992
The sufficient conditions for the convergence of a family of least squares estimates of some unknown parameters are given.The unknown parameters appear affinely in the linear transformations of the state and the control in a linear stochastic system.If the noise in the stochastic system is colored then the family of least squares estimates does not converge to the value and the bias is given explicitly.