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Test for parameter change in stochastic processes based on conditional least-squares estimator

โœ Scribed by Sangyeol Lee; Okyoung Na

Book ID
108185417
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
302 KB
Volume
93
Category
Article
ISSN
0047-259X

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By using an estimated noise transfer function to filter the input-output data, two identification models are obtained for the non-uniformly sampled Box-Jenkins system, one containing the parameters of the system model, and the other containing the parameters of the noise model. Then apply the recurs