An Adaptive Algorithms for Parameter Tracking of Time-Varying Parameters
Jiro Morimoto, Yoshikazu Yamamoto, Ikunori Kobayashi, Nanayo FURUMOTO, Toshiaki Tabuchi · Transactions of the Society of Instrument and Control Engineers · 1997
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.