Recursive multivariate time-series analysis with the inputs split into subsets with separate matrix transfer functions
作者:
P. F. DAVIS,
期刊:
International Journal of Control
(Taylor Available online 1982)
卷期:
Volume 36,
issue 1
页码: 173-177
ISSN:0020-7179
年代: 1982
DOI:10.1080/00207178208932883
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
This report describes a development in the recursive analysts of multivariate time-series using instrumental variables to relate inputs and outputs. At each sampling instant the set of inputs is split into discrete subsets, each having a separate matrix transfer function relationship with an associated vector of instrumental variables. The analysis is simplified when the input subsets are mutually uncorrelated. The vector of outputs is related to the sum of the concurrent vectors of instrumental variables. Tests of the new algorithm on simulated time-series resulted in satisfactory parameter estimates in most cases.
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