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This paper presents the mean-square joint state and diffusion coefficient (noise intensity) estimator for linear stochastic systems with unknown noise intensity over linear observations, where unknown parameters are considered Wiener processes. The original problem is reduced to the filtering problem for an extended state vector that incorporates parameters as additional states. Since the noise intensities...
This paper presents the mean-square joint state and diffusion coefficient (noise intensity) estimator for linear stochastic systems with unknown noise intensity over linear observations, where unknown parameters are considered Wiener processes. The original problem is reduced to the filtering problem for an extended state vector that incorporates parameters as additional states. Since the noise intensities...
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