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New approach to noncausal identification of nonstationary stochastic systems subject to both smooth and abrupt parameter changes
Abstract
In this paper we consider the problem of finiteintervalparameter smoothing for a class of nonstationary linearstochastic systems subject to both smooth and abrupt parameterchanges. The proposed parallel estimation scheme combines theestimates yielded by several exponentially weighted basis functionalgorithms. The resulting smoother automatically adjustsits smoothing bandwidth to the type and rate of nonstationarityof the identified system. It also allows one to account for thedistribution of the measurement noise.
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Authors (2)
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Szymon Gackowski
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Details
- Category:
- Conference activity
- Type:
- publikacja w wydawnictwie zbiorowym recenzowanym (także w materiałach konferencyjnych)
- Language:
- English
- Publication year:
- 2012
- Bibliographic description:
- Niedźwiecki M., Gackowski S.: New approach to noncausal identification of nonstationary stochastic systems subject to both smooth and abrupt parameter changes// / : , 2012,
- DOI:
- Digital Object Identifier (open in new tab) 10.1109/cdc.2012.6427018
- Sources of funding:
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- COST_FREE
- Verified by:
- Gdańsk University of Technology
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