Recursive Bayesian estimation of autoregressive model with uniform noise using approximation by parallelotopes
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F17%3A00472081" target="_blank" >RIV/67985556:_____/17:00472081 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1002/acs.2756" target="_blank" >http://dx.doi.org/10.1002/acs.2756</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1002/acs.2756" target="_blank" >10.1002/acs.2756</a>
Alternative languages
Result language
angličtina
Original language name
Recursive Bayesian estimation of autoregressive model with uniform noise using approximation by parallelotopes
Original language description
This paper proposes a recursive algorithm for the estimation of a stochastic autoregressive model with an external input. The noise of the involved model is described by a uniform distribution. The model parameters are estimated using the Bayesian approach. Without an approximation, the support of the posterior distribution is a complex multidimensional polytope whose number of faces increases with time. We propose an approximation of this polytope in each time step by a parallelotope with a constant number of faces. The behaviour of the proposed algorithm is illustrated by simulations and compared with other methods.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
Result continuities
Project
<a href="/en/project/7D12004" target="_blank" >7D12004: Probabilistic distributed industrial system monitor</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
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
31
Issue of the periodical within the volume
8
Country of publishing house
GB - UNITED KINGDOM
Number of pages
9
Pages from-to
1184-1192
UT code for WoS article
000409048800007
EID of the result in the Scopus database
2-s2.0-85027532957