OPTIMAL ADAPTIVE PREDICTION FOR SISO SYSTEMS
An adaptive predictor that is optimal in the minimum mean-square error (MMSE) sense at each step is obtained for single-input, single-output (SISO) linear time-invariant discrete-time systems having general delay and white noise perturbation. The adaptive d-step-ahead predictor includes the uncertainty associated with the parameter and state estimates whereas conventional adaptive predictors, that are asymptotically optimal, ignore the uncertainty in the parameter estimates.
adaptive prediction optimal joint parameter and state estimation mmse criterion kalman filtering