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Asymptotical study of parameter tracking algorithms. (English) Zbl 0823.93060

The authors consider the asymptotic optimality of several estimation algorithms for a linear regresson system with additive noise and an unknown slowly varying random parameter vector.

MSC:

93E10 Estimation and detection in stochastic control theory
93E11 Filtering in stochastic control theory
62L20 Stochastic approximation
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