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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

  • DOI - Digital Object Identifier

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

Result continuities

  • Project

  • 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

  • e-ISSN

  • Number of pages

    6

  • Pages from-to

  • 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