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
page_count 19 s.
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
name Wiley
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
url http://library.utia.cas.cz/separaty/historie/karny-estimation and prediction with armmax model a mixture of armax models with common arx part.pdf
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