论文信息 - Functional Series Modelling Approach to Identification of Nonstationary Stochastic Systems

Functional Series Modelling Approach to Identification of Nonstationary Stochastic Systems

The problem of identification of a nonstationary stochastic system is considered and the estimation method based on the functional series modelling (FSM) of the system parameter trajectory is proposed for its solution. It is shown that the parameter-matching properties of FSM estimators can be described in terms of the appropriately defined (time-varying) impulse and frequency responses. It is suggested and verified by means of computer simulation that the "averaged" frequency characteristics associated with FSM estimators can gain useful information about their parameter-matching abilities.

Maciej Niedzwiecki | M. Niedźwiecki

[1] Maciej Niedzwiecki,et al. On the localized estimators and generalized Akaike's criterions , 1981, CDC 1981.

[2] Yves Grenier,et al. Time-dependent ARMA modeling of nonstationary signals , 1983 .

[3] Maciej Niedzwiecki,et al. On time and frequency characteristics of weighted least squares estimators applied to nonstationary system identification , 1985, 1985 24th IEEE Conference on Decision and Control.

[4] M. Niedźwiecki. Optimization of the Window Shape in Weighted Least Squares Identification of a Class of Nonstationary Systems , 1986 .

[5] A. Willsky,et al. Time-varying parametric modeling of speech☆ , 1983 .