✦ LIBER ✦

Tracking time-varying parameters with local regression

✍ Scribed by Alfred Joensen; Henrik Madsen; Henrik Aa. Nielsen; Torben S. Nielsen

Publisher: Elsevier Science
Year: 2000
Tongue: English
Weight: 197 KB
Volume: 36
Category: Article
ISSN: 0005-1098
DOI: 10.1016/s0005-1098(00)00029-7

No coin nor oath required. For personal study only.

✦ Synopsis

This paper shows that the recursive least-squares (RLS) algorithm with forgetting factor is a special case of a varying-coe$cient model, and a model which can easily be estimated via simple local regression. This observation allows us to formulate a new method which retains the RLS algorithm, but extends the algorithm by including polynomial approximations. Simulation results are provided, which indicates that this new method is superior to the classical RLS method, if the parameter variations are smooth.

📜 SIMILAR VOLUMES

Lp-stability of estimation errors of kal

Lp-stability of estimation errors of kalman filter for tracking time-varying parameters

✍ J. F. Zhang; L. Guo; H. F. Chen 📂 Article 📅 1991 🏛 John Wiley and Sons 🌐 English ⚖ 782 KB

Local likelihood with time-varying addit

Local likelihood with time-varying additive hazards model

✍ Hui Li; Guosheng Yin; Yong Zhou 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 French ⚖ 926 KB

Evolutionary reinforcement learning syst

Evolutionary reinforcement learning system with time-varying parameters

✍ Kosuke Umesako; Masanao Obayashi; Kunikazu Kobayashi 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 839 KB

Identification of time-varying Wiener sy

Identification of time-varying Wiener systems with unknown parameters

✍ Yasuhide Kobayashi; Yuzuru Shiotani; Shinichi Hikita; Kazuya Nomura 📂 Article 📅 2010 🏛 Wiley (John Wiley & Sons) 🌐 English ⚖ 402 KB 👁 1 views

## Abstract Wiener systems which consist of a dynamic linear block followed by a static nonlinear element have been used in numerous applications. In many cases, the system parameters are affected by changes in the environmental conditions. This paper describes a new approach to the on‐line identif

Identification of time-varying systems w

Identification of time-varying systems with abrupt parameter changes

✍ Maciej Niedźwiecki 📂 Article 📅 1994 🏛 Elsevier Science 🌐 English ⚖ 994 KB

A new off-line identification algorithm which combines in a nonlinear fashion the estimates yielded by two Kalman filters running forward and backward in time, respectively, is capable of estimating system parameters varying in a discontinuous way.

ON THE STABILITY OF SYSTEMS WITH MIXED T

ON THE STABILITY OF SYSTEMS WITH MIXED TIME-VARYING PARAMETERS

✍ Richard D. Braatz; Manfred Morari 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 258 KB 👁 2 views

The well-known scaled small gain condition guarantees stability for a linear time invariant system subject to bounded complex nonlinear and/or time-varying perturbations. A polynomial time computable condition is derived that can be substantially less conservative for gain scheduled and other multiv