Estimation and prediction with ARMMAX model: a mixture of ARMAX models with common ARX part.

Result code in IS VaVaI

RIV/67985556:_____/03:16030057 - isvavai.cz

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Estimation and prediction with ARMMAX model: a mixture of ARMAX models with common ARX part.

Original language description

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 proposedfor 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.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BD - Information theory

OECD FORD branch

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Project

IBS1075102: Output Error Model Identification and its Utilisation in Controller Design

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2003

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

International Journal of Adaptive Control and Signal Processing

ISSN

0890-6327

e-ISSN

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Volume of the periodical

17

Issue of the periodical within the volume

4

Country of publishing house

GB - UNITED KINGDOM

Number of pages

19

Pages from-to

265-283

UT code for WoS article

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EID of the result in the Scopus database

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