bibtype |
J -
Journal Article
|
ARLID |
0411070 |
utime |
20240103182259.5 |
mtime |
20060210235959.9 |
title
(primary) (eng) |
Estimation and prediction with ARMMAX model: a mixture of ARMAX models with common ARX part |
specification |
|
serial |
ARLID |
cav_un_epca*0256772 |
ISSN |
0890-6327 |
title
|
International Journal of Adaptive Control and Signal Processing |
volume_id |
17 |
volume |
4 (2003) |
page_num |
265-283 |
publisher |
|
|
keyword |
Bayesian estimation |
keyword |
ARMAX model |
keyword |
finite mixtures |
author
(primary) |
ARLID |
cav_un_auth*0213021 |
name1 |
He |
name2 |
L. |
country |
CZ |
|
author
|
ARLID |
cav_un_auth*0101124 |
name1 |
Kárný |
name2 |
Miroslav |
institution |
UTIA-B |
full_dept |
Department of Adaptive Systems |
fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
source |
|
COSATI |
09J |
cas_special |
project |
project_id |
IBS1075102 |
agency |
GA AV ČR |
ARLID |
cav_un_auth*0014060 |
|
research |
CEZ:AV0Z1075907 |
abstract
(eng) |
The paper concerns Bayesian estimation and prediction in the presence of colored noise. It introduces a novel model called ARMMAX, a finite mixture with its ARMAX components having a common ARX part. A modified recursive Quasi-Bayes algorithm is proposed for its estimation, based on a classical solution that allows the MA part to be even at the stability boundary. An off-line use of the mixture offers the possibility to estimate C-parameters of an ARMAX model in a novel way. |
RIV |
BD |
department |
AS |
permalink |
http://hdl.handle.net/11104/0131157 |
ID_orig |
UTIA-B 20030057 |
arlyear |
2003 |
mrcbU63 |
cav_un_epca*0256772 International Journal of Adaptive Control and Signal Processing 0890-6327 1099-1115 Roč. 17 č. 4 2003 265 283 Wiley |
|