Parameter identification method for stochastic continuous system via wavelets
Chengke Zhang, Xingyu Wang · 2003
This paper studies the parameter identification problem of linear and bilinear continuous time stochastic systems based on wavelet approximation theory. The computation formulas of the correlative matrix of wavelet approximation coefficients of the Wiener process are given. Based on these results, the Markov estimation of parameters and its recursion algorithm are presented.