Identification of nonstationary multivariate autoregressive processes– Comparison of competitive and collaborative strategies for joint selection of estimation bandwidth and model order - Publikacja - MOST Wiedzy

Wyszukiwarka

Identification of nonstationary multivariate autoregressive processes– Comparison of competitive and collaborative strategies for joint selection of estimation bandwidth and model order

Abstrakt

The problem of identification of multivariate autoregressive processes (systems or signals) with unknown and possibly time-varying model order and time-varying rate of parameter variation is considered and solved using parallel estimation approach. Under this approach, several local estimation algorithms, with different order and bandwidth settings, are run simultaneously and compared based on their predictive performance. First, the competitive decision schemes are considered. It is shown that the best parameter tracking results can be obtained when the order is selected based on minimization of the appropriately modified Akaike’s final prediction error statistic, and the bandwidth is chosen using the localized version of the Rissanen’s predictive least squares statistic. Next, it is shown that estimation results can be further improved if a collaborative decision is made by means of applying the Bayesian model averaging technique.

Cytowania

  • 6

    CrossRef

  • 6

    Web of Science

  • 7

    Scopus

Cytuj jako

Informacje szczegółowe

Kategoria:
Publikacja w czasopiśmie
Typ:
artykuł w czasopiśmie wyróżnionym w JCR
Opublikowano w:
DIGITAL SIGNAL PROCESSING nr 78, strony 72 - 81,
ISSN: 1051-2004
Język:
angielski
Rok wydania:
2018
Opis bibliograficzny:
Niedźwiecki M., Ciołek M.: Identification of nonstationary multivariate autoregressive processes– Comparison of competitive and collaborative strategies for joint selection of estimation bandwidth and model order// DIGITAL SIGNAL PROCESSING. -Vol. 78, (2018), s.72-81
DOI:
Cyfrowy identyfikator dokumentu elektronicznego (otwiera się w nowej karcie) 10.1016/j.dsp.2018.02.013
Weryfikacja:
Politechnika Gdańska

wyświetlono 40 razy

Publikacje, które mogą cię zainteresować

Meta Tagi