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Journal of Automation and Information Sciences
SJR: 0.275 SNIP: 0.59 CiteScore™: 0.8

ISSN Imprimer: 1064-2315
ISSN En ligne: 2163-9337

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Journal of Automation and Information Sciences

DOI: 10.1615/JAutomatInfScien.v36.i5.20
pages 10-25

Identification of Systems of Regression Models with Random Coefficients

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


A problem of estimating coefficients in a system of regression models is described. The models' coefficients are random variables and output variables can be defined by different regressor sets. The estimation problem is formulated as a conditional optimization problem. Optimality conditions of coefficient estimation for two possible cases of dependence between regression model coefficients for different output variables are derived. Corresponding iterative estimation schemes are developed.

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