On persistent excitation conditions for the consistent filtering of convergent semimartingales

David Levanony

doi:10.1109/cdc.2004.1428661

On persistent excitation conditions for the consistent filtering of convergent semimartingales

David Levanony

Department of Electrical & Computer Engineering

Research output: Contribution to journal › Conference article › peer-review

2 Scopus citations

Abstract

The filtering of a continuous, convergent semi-martingale, observed via a noisy linear sensor is considered. Specifically, conditions ensuring the consistency of the Bayesian estimator are sought after. These are derived 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 unobserved semimartingale has a finite quadratic variation over [0, ∞]. Application examples are provided.

Original language	English
Article number	TuA11.6
Pages (from-to)	394-399
Number of pages	6
Journal	Proceedings of the IEEE Conference on Decision and Control
Volume	1
DOIs	https://doi.org/10.1109/cdc.2004.1428661
State	Published - 1 Jan 2004
Event	2004 43rd IEEE Conference on Decision and Control (CDC) - Nassau, Bahamas Duration: 14 Dec 2004 → 17 Dec 2004

ASJC Scopus subject areas

Control and Systems Engineering
Modeling and Simulation
Control and Optimization

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10.1109/cdc.2004.1428661

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AB - The filtering of a continuous, convergent semi-martingale, observed via a noisy linear sensor is considered. Specifically, conditions ensuring the consistency of the Bayesian estimator are sought after. These are derived 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 unobserved semimartingale has a finite quadratic variation over [0, ∞]. Application examples are provided.

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M3 - Conference article

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SN - 0743-1546

VL - 1

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JO - Proceedings of the IEEE Conference on Decision and Control

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T2 - 2004 43rd IEEE Conference on Decision and Control (CDC)

Y2 - 14 December 2004 through 17 December 2004

ER -

On persistent excitation conditions for the consistent filtering of convergent semimartingales

Abstract

ASJC Scopus subject areas

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