Abstract
We prove that the parameter estimation error of continuous-time linear stochastic systems that is obtained in connection with a fixed-gain estimation method can be written as a stochastic integral plus a residual term, the moments of which are of orderλ+o(1) whereλ is the forgetting factor.
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Gerencsér, L., Vágó, Z. Fixed-gain estimation in continuous time. Acta Appl Math 35, 153–164 (1994). https://doi.org/10.1007/BF00994915
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DOI: https://doi.org/10.1007/BF00994915