Bibliography
Journal Article
Estimation and prediction with ARMMAX model: a mixture of ARMAX models with common ARX part
,
: International Journal of Adaptive Control and Signal Processing vol.17, 4 (2003), p. 265-283
: CEZ:AV0Z1075907
: IBS1075102, GA AV ČR
: Bayesian estimation, ARMAX model, finite mixtures
(eng): The paper concerns Bayesian estimation and prediction in the presence of colored noise. It introduces a novel model called ARMMAX, a finite mixture with its ARMAX components having a common ARX part. A modified recursive Quasi-Bayes algorithm is proposed for its estimation, based on a classical solution that allows the MA part to be even at the stability boundary. An off-line use of the mixture offers the possibility to estimate C-parameters of an ARMAX model in a novel way.
: 09J
: BD