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Bibliografie

Journal Article

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

He L., Kárný Miroslav

: International Journal of Adaptive Control and Signal Processing vol.17, 4 (2003), p. 265-283

: CEZ:AV0Z1075907

: IBS1075102, GA AV ČR

: Bayesian estimation, ARMAX model, finite mixtures

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

(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.

: 09J

: BD