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Empirical Bayesian Estimators for a Poisson Process Propagated in Time

โœ Scribed by S.H. Heisterkam; J.C. van Houwelingen; A.M. Downs

Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
271 KB
Volume
41
Category
Article
ISSN
0323-3847

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The recursive least-squares (RLS) identification algorithm with a forgetting factor is often used to estimate time-varying parameters in stochastic systems. However, it is hard to say anything about the distribution of the parameter estimates, since they are nonlinear functions of the observations.