By Topic

On Sequential Parameter Estimation Problem of Nonlinear Discrete-Time Stochastic Systems

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

Formats Non-Member Member
$31 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

2 Author(s)
Malyarenko, A.A. ; Dept. of Appl. Math. & Cybern., Tomsk State Univ., Tomsk ; Vasiliev, V.A.

The parameter estimation problem of partly observed nonlinear discrete-time stochastic system is considered. The unobserved component of the system is a q-dimensional stable autoregressive process of the p-th order with random parameters, observed in the presence of multiplicative and additive noises. The distributions of all the noises of the system are supposed to be unknown. In the case of Gaussian noises, autoregressive process with drifting parameters is equivalent to well-known in financial mathematics GARCH model. The problem is to estimate the mean of the drifting parameters of the object and variances of the additive noises of the system. Sequential estimators with given mean square accuracy are obtained on the basis of the correlation method.

Published in:

Innovative Computing Information and Control, 2008. ICICIC '08. 3rd International Conference on

Date of Conference:

18-20 June 2008