Han-Fu Chen & Wenxiao Zhao 
Recursive Identification and Parameter Estimation [PDF ebook] 

Recursive Identification and Parameter Estimation describes a recursive approach to solving system identification and parameter estimation problems arising from diverse areas. Supplying a systematic description of recursive estimation methods, it provides rigorous theoretical analysis of recursive solutions to problems of stochastic systems. Presenting the material and proposed algorithms in a manner that makes it easy to understand, the book provides readers with the modeling and identification skills required for successful theoretical research and effective applications.