Parameter Estimation of Time-Varying ARMA Model

被引：3
|
作者：
王文华
韩力
王文星
机构：
[1] Beijing Institute of Technology
[2] Beijing100081
[3] Beijing100083
[4] China
[5] China University of Mining Technology
[6] Electronic and Information Engineering
[7] School of Information Science and Technology
[8] School of Mechanical
来源：
Journal of Beijing Institute of Technology | 2004年 / 02期
关键词：
auto-regressive moving-average (ARMA) model; feedback linear estimation; basis time-varying function; spectral estimation;
D O I：
10.15918/j.jbit1004-0579.2004.02.005
中图分类号：
TN9116 [];
学科分类号：
081002 ;
摘要：
The auto-regressive moving-average (ARMA) model with time-varying parameters is analyzed. The time-varying parameters are assumed to be a linear combination of a set of basis time-varying functions, and the feedback linear estimation algorithm is used to estimate the time-varying parameters of the ARMA model. This algorithm includes 2 linear least squares estimations and a linear filter. The influence of the order of basis time-(varying) functions on parameters estimation is analyzed. The method has the advantage of simple, saving computation time and storage space. Theoretical analysis and experimental results show the validity of this method.
引用
收藏
页码：131 / 134
页数：4
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