Easily computable recursive algorithms are proposed for estimating coefficients of A ( z ), C ( z ), and the covariance matrix R w of w k for the multivariate ARMA process A ( z ) y k = C ( z ) w k on the basis of the...
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Easily computable recursive algorithms are proposed for estimating coefficients of A ( z ), C ( z ), and the covariance matrix R w of w k for the multivariate ARMA process A ( z ) y k = C ( z ) w k on the basis of the noise-corrupted observations η k Δ y k + ε k . the estimates converge to the true ones under reasonable conditions. An illustrative example is provided, and the simulation results are shown to be consistent with the theoretical analysis.
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