ARMAX模型两种自适应k步超前预报形式的比较

ＡＲＭＡＸ模型的自适应ｋ步超前预报通常有单步预报和多步预报两种形式，前者依赖于若干个过去时刻固定步数（ｋ步）的预后，后者则用到一系列固定时刻不同步数（ｋ－１，ｋ－２，…）的预报。本文证明二者是完全等价的，并且从应用的角度和模拟试验的结果对它们进行了比较。

Comparison of Two forms of Adaptive k-Step-Ahead Predictors for Armax Model

For k-step-ahead predictors of ARMAX model both single-step and multi-step forms are reviewed.The singlestep formulation depends on several past values of fixed step(kstep) predictors, while the multistep form uses multiple recursivity of different step (k-1-step k-2-step,....) predictors at fixed time. In this paper the equivalence relation of two forms is established, in a addition, the comparison of them from the viewpoint of application and simulation results is given.