| 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 |
|