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Abstract
In certain applications of nonstationary system identification the model-based decisions can be postponed, i.e. executed with a delay. This allows one to incorporate in the identification process not only the currently available information, but also a number of ''future'' data points. The resulting estimation schemes, which involve smoothing, are not causal. Assuming that the infinite observation history is available, the paper establishes the lower steady-state estimation bound for any noncausal estimator applied to a linear system with randomly drifting coefficients (under Gaussian assumptions). This lower bound complements the currently available one, which is restricted to causal estimators.
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- Accepted or Published Version
- DOI:
- Digital Object Identifier (open in new tab) 10.1016/j.automatica.2007.05.020
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- Category:
- Articles
- Type:
- artykuł w czasopiśmie z listy filadelfijskiej
- Published in:
-
AUTOMATICA
no. 44,
pages 459 - 464,
ISSN: 0005-1098 - Language:
- English
- Publication year:
- 2008
- Bibliographic description:
- Niedźwiecki M.: On the lower smoothing bound in identification of time-varying systems// AUTOMATICA. -Vol. 44., nr. nr 2 (2008), s.459-464
- DOI:
- Digital Object Identifier (open in new tab) 10.1016/j.automatica.2007.05.020
- Verified by:
- Gdańsk University of Technology
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