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Journal of Automation and Information Sciences
SJR: 0.232 SNIP: 0.464 CiteScore™: 0.27

ISSN Imprimir: 1064-2315
ISSN En Línea: 2163-9337

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Journal of Automation and Information Sciences

DOI: 10.1615/JAutomatInfScien.v44.i5.20
pages 10-27

Identification of Systems Parameters of Autoregression Equations for Known Covariance Matrixes

Alexander P. Sarychev
Institute of Technical Mechanics of National Academy of Sciences of Ukraine and National Space Agency of Ukraine, Dnepropetrovsk, Ukraine

SINOPSIS

The problem of estimation of parameters of system of autoregression equations, in which the sets of input variables can be various and random additive components in output variables can be statistically dependent both in model of functioning and in observation model is under consideration. We assume that covariance matrixes of additive random components in functioning and observation models are specified. Iteration procedure of estimation of coefficients, which is investigated by the method of statistical testing, is proposed.


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