On persistent excitation conditions for the consistent filtering of convergent semimartingales

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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 languageEnglish
Article numberTuA11.6
Pages (from-to)394-399
Number of pages6
JournalProceedings of the IEEE Conference on Decision and Control
Volume1
DOIs
StatePublished - 1 Jan 2004
Event2004 43rd IEEE Conference on Decision and Control (CDC) - Nassau, Bahamas
Duration: 14 Dec 200417 Dec 2004

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