Session Time & Room : 3D (Aug.23, 15:30-17:10) @E504
Type : Contributed Talk
Abstract : We consider a linear partially observed system. The coefficients of
this system depend on some finite - dimensional unknown parameter. We study
the problems of the construction of adaptive
Kalman filtration equations. The adaptive filter is constructed
in two steps. First we propose a preliminary estimator using
observations on a relatively small interval of observations. Then this
estimator is used for construction of One-step MLE-process. Finally the last
estimator allows us to construct an adaptive recurrent filter.
