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Abstract The estimation of a class of continuous, convergent semimartingales, observed via a linear sensor is considered. In particular, conditions securing the consistency of the Bayesian estimator are established. These… Click to show full abstract
Abstract The estimation of a class of continuous, convergent semimartingales, observed via a linear sensor is considered. In particular, conditions securing the consistency of the Bayesian estimator are established. These are in the form of a Persistence of Excitation (PE) property. This PE condition is stronger than the one required in the case of the estimation of a constant random vector. It coincides with the latter, when the partially observed semimartingale has a finite quadratic variation over [ 0 , ∞ ] . The paper is concluded with two Systems and Control application examples.
Journal Title: Stochastic Processes and their Applications
Year Published: 2019
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