| A New Recursive Parameter Estimation Algorithm of Multi－Variable Time－Varying AR Model |
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| 引用本文： | 曾鹏,王绍棣,黄仁.A New Recursive Parameter Estimation Algorithm of Multi－Variable Time－Varying AR Model[J].东南大学学报,1996(2). |
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| 作者姓名： | 曾鹏 王绍棣 黄仁 |
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| 作者单位： | Zeng Peng Wang Shaodi (Nanjing University of Posts and Telecommunications，Nanjing 210003)Huang Ren (Department of Mechanical Engineering，Southeast University，Nanjing 210018) |
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| 摘 要： | ＡＮｅｗＲｅｃｕｒｓｉｖｅＰａｒａｍｅｔｅｒＥｓｔｉｍａｔｉｏｎＡｌｇｏｒｉｔｈｍｏｆＭｕｌｔｉ－ＶａｒｉａｂｌｅＴｉｍｅ－ＶａｒｙｉｎｇＡＲＭｏｄｅｌＺｅｎｇＰｅｎｇ（曾鹏）ＷａｎｇＳｈａｏｄｉ（王绍棣）（ＮａｎｊｉｎｇＵｎｉｖｅｒｓｉｔｙｏｆＰｏ...
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A New Recursive Parameter Estimation Algorithm of Multi Variable Time Varying AR Model |
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| Zeng Peng,Wang Shaodi.A New Recursive Parameter Estimation Algorithm of Multi Variable Time Varying AR Model[J].Journal of Southeast University(English Edition),1996(2). |
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| Authors: | Zeng Peng Wang Shaodi |
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| Abstract: | A new recursive algorithm of multi variable time varying AR model is proposed. By changing the form of AR model, the parameter estimation can be regarded as state estimation of state equations. Then the Kalman filter is used to estimate the variation of the parameters. The asymptotic stability of this time varying parameter estimation is studied, and the sufficient condition of asym stability is given. Simulation shows that even if the parameter varies very quickly, the algorithm can track the parameter's variation satisfactorily. |
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| Keywords: | autoregressive model state equation parameter estimation recursive algorithm |
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