Parameter Estimation in Stochastic Differential Systems:Theory and Application.

摘要

This paper presents a theory of estimation of parameters in linear stochastic differential equations based on time-continuous observation. It uses a white noise model to represent observation errors (in contrast to a Wiener process model). The application is to the problem of identifying aircraft as well as turbulence (wind-gust) parameters from flight test data. Results obtained on actual data are presented.