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Портал Begell Электронная Бибилиотека e-Книги Журналы Справочники и Сборники статей Коллекции
Journal of Automation and Information Sciences
SJR: 0.232 SNIP: 0.464 CiteScore™: 0.27

ISSN Печать: 1064-2315
ISSN Онлайн: 2163-9337

Выпуски:
Том 52, 2020 Том 51, 2019 Том 50, 2018 Том 49, 2017 Том 48, 2016 Том 47, 2015 Том 46, 2014 Том 45, 2013 Том 44, 2012 Том 43, 2011 Том 42, 2010 Том 41, 2009 Том 40, 2008 Том 39, 2007 Том 38, 2006 Том 37, 2005 Том 36, 2004 Том 35, 2003 Том 34, 2002 Том 33, 2001 Том 32, 2000 Том 31, 1999 Том 30, 1998 Том 29, 1997 Том 28, 1996

Journal of Automation and Information Sciences

DOI: 10.1615/JAutomatInfScien.v45.i9.20
pages 13-33

Identification of Systems Parameters of Autoregressive Equations with Random Coefficients and Known Covariance Matrices

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

Краткое описание

The estimation problem of parameters of system of autoregressive equations is considered. It is supposed that the coefficients are the random quantities, the sets of input variables in the equations can be various, and the random additive components in output variables can be statistically dependent both in model of functioning and in an observation model. It is supposed that the covariance matrices of random coefficients as well as additive random components in functioning and observation models are known. Iterative procedure of estimating mathematical expectation of random coefficients is investigated by a method of statistical tests.