ARX models for time-varying systems estimated by recursive penalized weighted least squares method
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- Qin, Pan
- Faculty of Mathematics, Kyushu University
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- 西井, 龍映
- 九州大学大学院数理学研究院
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- 中川, 正
- マツダ(株)
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- Nakamoto, Takayoshi
- MAZDA Motor Corporation
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説明
We consider the modeling problem for time-varying systems by Auto-Regressive models with exogenous variables (ARX) models. To track the variations of time-varying systems, we propose a new Recursive Penalized Weighted Least Squares (RPWLS) method to estimate the ARX models. Furthermore, by virtue of Generalized Information Criterion, the proper ARX models by RPWLS are selected. Numerical examples are provided to verify the performance of the proposed RPWLS method.
収録刊行物
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- Journal of Math-for-Industry (JMI)
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Journal of Math-for-Industry (JMI) 2 (A), 109-114, 2010-04-08
Faculty of Mathematics, Kyushu University
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詳細情報 詳細情報について
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- CRID
- 1050580007682269696
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- NII論文ID
- 120002070486
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- NII書誌ID
- AA12444018
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- ISSN
- 18844774
- 18844782
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- HANDLE
- 2324/17017
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- NDL書誌ID
- 10967642
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- 本文言語コード
- en
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- 資料種別
- journal article
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- データソース種別
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- IRDB
- NDL
- CiNii Articles