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Fast Basis Function Estimators for Identification of Nonstationary Stochastic Processes

Abstract

The problem of identification of a linear nonsta-tionary stochastic process is considered and solved using theapproach based on functional series approximation of time-varying parameter trajectories. The proposed fast basis func-tion estimators are computationally attractive and yield resultsthat are better than those provided by the local least squaresalgorithms. It is shown that two important design parameters –the number of basis functions and the size of the local analysisinterval – can be selected on-line in an adaptive way.

Details

Category:
Conference activity
Type:
publikacja w wydawnictwie zbiorowym recenzowanym (także w materiałach konferencyjnych)
Language:
English
Publication year:
2019
Bibliographic description:
Niedźwiecki M., Ciołek M., Gańcza A.: Fast Basis Function Estimators for Identification of Nonstationary Stochastic Processes// / : , 2019,
Sources of funding:
Verified by:
Gdańsk University of Technology

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