The Wiberg estimator: continuous-time case
Donald M. Wiberg, D.G. DeWolf · 2003
The continuous-time optimal nonlinear filter for online parameter estimation is approximated by its first three moments and the Gaussian formula for fourth-order moments. Equations are developed for the general case in continuous time, including pole, zero, and variance parameters. Comparison is made to the recursive prediction error method in continuous time. Simulations are developed for estimating the pole parameter in a scalar system.>