ON PARAMETER ESTIMATION FOR LINEAR AND NONLINEAR STOCHASTIC SYSTEMS

摘要

The overview of some results of [2], [3] on estimation of parameters in linear systems is presented. Some recent results of concerning estimation of f'(0) (f(x) is a drift vector) for nonlinear systems are discussed too. It is shown that conditions for an existence of a consistent, and the more, asymptotically efficient estimator for f'(0) are essentially less restrictive for the stable in probability systems. Some simple mechanical examples are presented and discussed.