Prediction-error parametric model estimation
After studying this chapter you will be able to
• describe the prediction-error model-estimation problem;
• parameterize the system matrices of a Kalman filter of fixed and known order such that all stable MIMO Kalman filters of that order are presented;
• formulate the estimation of the parameters of a given Kalman-filter parameterization via the solution of a nonlinear optimization problem;
• evaluate qualitatively the bias in parameter estimation for specific SISO parametric models, such as ARX, ARMAX, output-error, and Box–Jenkins models, under the assumption that the signal-generating system ...