Consistent Estimates of the Parameters of a Linear System
William N. Anderson, George B. Kleindorfer, Paul R. Kleindorfer, Michael B. Woodroofe · The Annals of Mathematical Statistics · 1969
Abstract : The paper considers the identification of the transition matrix and statistical parameters of a discrete linear system excited by white noise. Estimates of these parameters are derived and shown to be strongly consistent. It is further shown that when strongly consistent estimates are used in the Kalman Filter equations that the Kalman Filter parameters and the state variable estimates so obtained are also strongly consistent. (Author)