The asymptotic behavior of a Bayes Optimal adaptive estimation scheme (also called the partitioned adaptive estimation algorithm) for a sampled stochastic process with unknown parameters is investigated. The unknown parameter vector is assumed to be continuous and to belong to a compact subset of a metric space. The results are then used to analyze a scalar linear Gauss-Markov dynamical system. The multivariate linear Gauss-Markov model is also discussed.
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J.K. Tugnait (1980) studied this question.
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