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Questions tagged [parameter-estimation]

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How to Linearly Combine Two Unbiased Estimators of One Parameter without Knowledge of Their CoVariance?

I have two unbiased estimators of one parameter, $\tau$. The first estimator, $r_1$, is the better estimator with lower variance than the second estimator, $r_2$. $r_1$ gives out $0.8 \hat{\tau}$, ...
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Why is the concept of a “state covariance matrix” necessary in estimation?

I'm currently taking a course in optimal estimation (and it's still very early in the course). Much of our work is based around the idea of a measurement model $y=Hx + v$ This model assumes our ...
55 views

Tracking a sine wave with noise

This will probably be an extremely simple question for some one with any background in signal processing(not my background) Let say I have signal $$x(t)=A\sin(\omega t)$$ where A is known and $\omega$...
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How sensitive is parameter estimation to uncertainty in time?

Suppose I have the following deterministic system that is a function of time: $y = k*t + b$ Now let's say I have the ability to measure this system but there is a zero-mean noise component in the ...
339 views

Sequential Form of the Least Squares Estimator for Linear Least Squares Model

I'm currently working on a project in which I need to find the tilt of a surface. Let's assume I'm only concerned with a single dimension tilt (i.e. slope) to begin. I currently have the ability to ...
291 views

Estimate a Transfer Function from ARX Models vs. ARIMAX?

There is diffrent models which can be used to create a dynamical model by using least squares. Those models are following: ARX ARMAX ARIMAX OE BJ But if my goal with creating a dynamical model is to ...