NEW METHOD OF ORDER ESTIMATION FOR ARMA/ARMAX PROCESSES
文献类型：期刊论文
| 作者 | Chen, Han-Fu1 ; Zhao, Wen-Xiao2
|
| 刊名 | SIAM JOURNAL ON CONTROL AND OPTIMIZATION
 |
| 出版日期 | 2010 |
| 卷号 | 48期号:6页码:4157-4176 |
| 关键词 | ARMA ARMAX order estimation convergence rate strong consistency |
| ISSN号 | 0363-0129 |
| DOI | 10.1137/090768680 |
| 英文摘要 | Let the observation {y(k)} be generated by the multivariate ARMA process A(z)y(k) = C(z)w(k) with unknown coefficients theta(A), theta(C) and orders (p, r), where {w(k)} is a sequence of independent and identically distributed (i.i.d.) random vectors with zero mean and unknown covariance matrix R-w > 0. A new method for estimating the orders (p, r) is introduced. In contrast to most of the existing results, the new method is not based on optimizing a certain criterion, and the order estimates given in the paper are rather easy to update computationally in comparison with the criterion-optimization-based methods when new data arrive. The method is then extended to determining the orders of ARMAX processes. Under reasonable conditions the estimates are proved to converge to the true orders with probability one as time tends to infinity. |
| 资助项目 | National Natural Science Foundation of China (NSFC)[60821091] ; National Natural Science Foundation of China (NSFC)[60874001] ; National Natural Science Foundation of China (NSFC)[60625305] ; National Natural Science Foundation of China (NSFC)[60721003] ; National Laboratory of Space Intelligent Control ; 973 Program[2009CB320602] |
| WOS研究方向 | Automation & Control Systems ; Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000278365200022 |
| 出版者 | SIAM PUBLICATIONS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/9482]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Chen, Han-Fu |
| 作者单位 | 1.Chinese Acad Sci, Key Lab Syst & Control, Inst Syst Sci, AMSS, Beijing 100190, Peoples R China 2.Tsinghua Univ, Dept Automat, Beijing 100084, Peoples R China |
| 推荐引用方式 GB/T 7714 | Chen, Han-Fu,Zhao, Wen-Xiao. NEW METHOD OF ORDER ESTIMATION FOR ARMA/ARMAX PROCESSES[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION,2010,48(6):4157-4176. |
| APA | Chen, Han-Fu,&Zhao, Wen-Xiao.(2010).NEW METHOD OF ORDER ESTIMATION FOR ARMA/ARMAX PROCESSES.SIAM JOURNAL ON CONTROL AND OPTIMIZATION,48(6),4157-4176. |
| MLA | Chen, Han-Fu,et al."NEW METHOD OF ORDER ESTIMATION FOR ARMA/ARMAX PROCESSES".SIAM JOURNAL ON CONTROL AND OPTIMIZATION 48.6(2010):4157-4176. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。