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Journal of Automation and Information Sciences

Published 12 issues per year

ISSN Print: 1064-2315

ISSN Online: 2163-9337

SJR: 0.173 SNIP: 0.588 CiteScore™:: 2

Indexed in

Identification of Systems of Regression Models with Random Coefficients

Volume 36, Issue 5, 2004, pp. 10-25
DOI: 10.1615/JAutomatInfScien.v36.i5.20
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ABSTRACT

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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