Fixed-accuracy estimation of parameters in the ARMAX system

Victor Konev, Dmitry Shapovalov

    Research output: Contribution to journalConference article

    Abstract

    Autoregressive moving average systems with exogenous inputs (AR-MAX) are widely used in a variety of applied problems connected with identification, adaptive control and time series analysis. This paper proposes the method which enables one to estimate parameters in the ARMAX system with a prescribed mean-square precision at the termination time. The procedure is constructed on the basis of sequential analysis approach and makes use of special modifications of estimates obtained by the method of instrumental variables. The method can be used for guaranteed estimation (in mean-square sense) of spectral density of ARMA processes.

    Original languageEnglish
    Pages (from-to)461-465
    Number of pages5
    JournalIFAC Proceedings Volumes (IFAC-PapersOnline)
    Volume15
    Issue number1
    Publication statusPublished - 1 Jan 2002
    Event15th World Congress of the International Federation of Automatic Control, 2002 - Barcelona, Spain
    Duration: 21 Jul 200226 Jul 2002

    Fingerprint

    Time series analysis
    Spectral density

    Keywords

    • Fixed-precision estimates
    • Instrumental variable
    • Sequential plan
    • Stopping time

    ASJC Scopus subject areas

    • Control and Systems Engineering

    Cite this

    Fixed-accuracy estimation of parameters in the ARMAX system. / Konev, Victor; Shapovalov, Dmitry.

    In: IFAC Proceedings Volumes (IFAC-PapersOnline), Vol. 15, No. 1, 01.01.2002, p. 461-465.

    Research output: Contribution to journalConference article

    Konev, Victor ; Shapovalov, Dmitry. / Fixed-accuracy estimation of parameters in the ARMAX system. In: IFAC Proceedings Volumes (IFAC-PapersOnline). 2002 ; Vol. 15, No. 1. pp. 461-465.
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