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A Recursive Algorithm for Adaptive Estimation and Parameter Change Detection of Time Series Models

 

作者: SastriTep,  

 

期刊: Journal of the Operational Research Society  （Taylor Available online 1986）
卷期: Volume 37, issue 10  

页码: 987-999

 

ISSN:0160-5682

 

年代: 1986

 

DOI:10.1057/jors.1986.168

 

出版商: Taylor&Francis

 

关键词: adaptive forecasting;discounted recursive least-squares;process charge monitor;times series analysis

 

数据来源: Taylor

 

摘要:

AbstractThe discounted recursive least-squares concept of R. G. Brown's adaptive smoothing is extended to the Box-Jenkins models. The D.R.L.S. algorithm is derived for the autoregressive moving-average models. Two important applications of the D.R.L.S. for parameter change detection and adaptive forecasting are presented.

 

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