Partial Forgetting in Autoregression Models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F08%3A00312688" target="_blank" >RIV/67985556:_____/08:00312688 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Partial Forgetting in Autoregression Models
Original language description
The assumption of constant parameters of the autoregression model sometimes fails, as the parameters may vary in time. If the parameters vary slowly, the problem is often solved using various forgetting methods like exponential forgetting, linear forgetting etc. However, most of them work on the model parameters probability density function with one common forgetting rate. In the case of different variability of individual parameters, these methods might fail. The developed partial forgetting method gives a new approach, which solves this problem. It releases individual parameters and allows them to change with different rates.
Czech name
Parciální zapomínání v autoregresních modelech
Czech description
Parciální zapomínání v autoregresních modelech
Classification
Type
D - Article in proceedings
CEP classification
BC - Theory and management systems
OECD FORD branch
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Result continuities
Project
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Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2008
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 9th International PhD Workshop on Systems and Control, Young Generation Viewpoint
ISBN
978-961-264-003-3
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
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Publisher name
Jozef Stefan Institute
Place of publication
Izola
Event location
Izola
Event date
Oct 1, 2008
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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