RT Book, Section
SR 00
A1 Yashin, Y.
T1 Martingale Approach to Identification of Stochastic Systems
YR 1985
FD 1985
VO 7
SP 1755
OP 1760
AB The paper deals with the convergence property of Bayesian estimators. The necessary and sufficient conditions for convergence are given in terms of singularity and absolute continuity properties for some family of probability measures. These conditions are specified for a wide class of stochastic processes called semimartingales. The approach can be applied to both continuous time and discrete time stochastic processes. Examples illustrating the theory are given.
T2 Identification and System Parameter Estimation
PB IFAC
PP York
T3 IFAC Proceedings
SN 0080325424
AV Published
LK https://pure.iiasa.ac.at/id/eprint/13668/