| Parameter Estimation of Time-Varying ARMA Model |
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| 引用本文： | 王文华,韩力,王文星. Parameter Estimation of Time-Varying ARMA Model[J]. 北京理工大学学报(英文版), 2004, 13(2): 131-134 |
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| 作者姓名： | 王文华 韩力 王文星 |
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| 作者单位： | [1]SchoolofInformationScienceandTechnology,BeijingInstituteofTechnology,Beijing100081,China [2]SchoolofMechanical,ElectronicandIrfformationEngineering,ChinaUniversityofMiningTechnology,Beijing100083,China |
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| 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.
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| 关 键 词： | 参数估计 子回归移动均值模型 线性回馈估计 基础时间变化功能 频谱估计 |
| 收稿时间： | 2003-01-18 |
Parameter Estimation of Time-Varying ARMA Model |
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| WANG Wen-hu,HAN Li and WANG Wen-xing. Parameter Estimation of Time-Varying ARMA Model[J]. Journal of Beijing Institute of Technology, 2004, 13(2): 131-134 |
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| Authors: | WANG Wen-hu HAN Li WANG Wen-xing |
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| Affiliation: | WANG Wen-hua~1,HAN Li~1,WANG Wen-xing~2 |
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| Abstract: | 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. |
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| Keywords: | auto-regressive moving-average (ARMA) model feedback linear estimation basis time-varying function spectral estimation |
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