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Journal of Automation and Information Sciences

年間 12 号発行

ISSN 印刷: 1064-2315

ISSN オンライン: 2163-9337

SJR: 0.173 SNIP: 0.588 CiteScore™:: 2

Indexed in

The Estimation Method of Time-varying Parameters of Regression Models

巻 44, 発行 11, 2012, pp. 10-28
DOI: 10.1615/JAutomatInfScien.v44.i11.20
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要約

The basis of this method is a two-criterion problem of estimating the variable parameters of a linear regression. It allows to estimate the parameters, using sufficiently limited a priori information. The properties of the obtained estimates has been studied. The results of computer experiment, that have showed the efficiency of the proposed method, are given.

参考
  1. Podinovskiy V.V., Nogin V.D. , Pareto-optimal solutions of multiobjective problems [in Russian].

  2. Gantmakher F.R. , Theory of matrices [in Russian].

  3. Lee R. , Optimal estimation, identification, and control [Russian translation].

  4. Tikhonov N.A., Arsenin V.A. , Methods of solving ill-posed problems [in Russian].

  5. Fiacco A., McCormick G. , Nonlinear programming. Sequential unconstrained minimization techniques [Russian translation].

  6. K.-H. Elster , Introduction to nonlinear programming.

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