Prediction of stochastic processes using self-tuning principles

DOI10.1080/00207728708963973MaRDI QIDQ3754539zbMATH OpenOpenAlexFDO

Authors P. P. Kanjilal, D. W. Clarke

Publication date 1987

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207728708963973

zbMATH Keywords

self-tuningARIMAX process modelconstrained minimum-variance predictionGeneralized cost functions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Analysis of variance and covariance (ANOVA) (62J10) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Adaptive control/observation systems (93C40) Identification in stochastic control theory (93E12)

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Cites work

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• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• A generalized LQG approach to self-tuning control Part I. Aspects of design
• A self-tuning predictor
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• Performance improvements of self-tuning controllers by multistep horizons: The MUSMAR approach
• Time-Series Analysis and Forecasting: An Update and Evaluation

Cited in

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• GENERATION AND PREDICTION OF SELF-SIMILAR PROCESSES BY SURROGATES
• A review of k-step-ahead predictors
• Self-tuning predictors with application to river flow prediction
• scientific article; zbMATH DE number 4016751 (Why is no real title available?)
• Prediction in Nature-Inspired Dynamic Optimization
• scientific article; zbMATH DE number 193709 (Why is no real title available?)
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