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Likelihood ratio test for estimation of time-varying systems

 

作者: DJ. JURICIC,  

 

期刊: International Journal of Control  （Taylor Available online 1989）
卷期: Volume 50, issue 4  

页码: 1567-1570

 

ISSN:0020-7179

 

年代: 1989

 

DOI:10.1080/00207178908953450

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

A likelihood ratio test is used to detect the portion of the prediction error variance caused by changes in parameters. It results in a simple rule for adjusting the dispersion factor in the parameter covariance matrix. The adaptation rule given by Jazwinski (1970) is shown to be a special case of one derived

 

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