An adaptive filter for time‐varying‐parameter models

DOI10.1002/ACS.4480040502MaRDI QIDQ3974129zbMATH OpenOpenAlexFDO

Authors Ahmed S. Abutaleb, Michael G. Papaionnou

Publication date 25 June 1992

Published in International Journal of Adaptive Control and Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/acs.4480040502

zbMATH Keywords

Pontryagin maximum principlenonlinear adaptive filterSridhar filtering theorymethod of invariant imbedding

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Least squares and related methods for stochastic control systems (93E24)

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• scientific article; zbMATH DE number 3947439 (Why is no real title available?)
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• New results in Sridhar filtering theory
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

Cited in

(21)

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• Parameter estimation of time varying mixed AR model
• A new look at the statistical identification of nonstationary systems
• scientific article; zbMATH DE number 218697 (Why is no real title available?)
• MALLIAVIN CALCULUS FOR THE ESTIMATION OF TIME-VARYING REGRESSION MODELS USED IN FINANCIAL APPLICATIONS
• New results in Sridhar filtering theory: The discrete case
• On the localized estimators and generalized Akaike's criteria
• A linear time-varying filter for estimating a signal from unknown noise and its application to identification
• Tracking time-varying-coefficient functions
• Performance of adaptive estimators in slowly varying parameter models
• scientific article; zbMATH DE number 2234518 (Why is no real title available?)
• Identification of time-varying systems using combined parameter estimation and filtering
• SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation
• An Empirical Investigation of the Adaptive-Filtering Learning Factor
• Adaptive overfitting lattice filter for parameter estimation of time- varying systems
• Tracking of a time-varying acoustic impulse response by an adaptive filter
• When artificial parameter evolution gets real: particle filtering for time-varying parameter estimation in deterministic dynamical systems
• Time-varying Gaussian process assume density filter algorithm
• Likelihood ratio test for estimation of time-varying systems
• Time-varying parameters prediction

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