A multi-model adaptive predictor for stochastic processes with Markov switching parameters
作者:
QI XIAO-JIANG,
期刊:
International Journal of Control
(Taylor Available online 1986)
卷期:
Volume 43,
issue 5
页码: 1453-1463
ISSN:0020-7179
年代: 1986
DOI:10.1080/00207178608933551
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
This paper is concerned with prediction for discrete-time stochastic processes with switching parameters modelled as a finite-state Markov chain, whose transition probability matrix is assumed to be known. For these processes an adaptive predictor, called the multi-model adaptive predictor, is proposed. A simulation example shows the behaviour of the predictor.
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