An adaptive filter for time‐varying‐parameter models

DOI10.1002/ACS.4480040502zbMATH Open0735.93074OpenAlexW2066309272MaRDI QIDQ3974129FDOQ3974129

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

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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)

Cites Work

• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Title not available (Why is that?)
• Title not available (Why is that?)
• New results in Sridhar filtering theory

Cited In (21)

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• Adaptive filtering of signals with random rates of variation of the structure of a dynamic system
• Parameter estimation of time varying mixed AR model
• A new look at the statistical identification of nonstationary systems
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• MALLIAVIN CALCULUS FOR THE ESTIMATION OF TIME-VARYING REGRESSION MODELS USED IN FINANCIAL APPLICATIONS
• On the localized estimators and generalized Akaike's criteria
• New results in Sridhar filtering theory: The discrete case
• 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
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• 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
• When artificial parameter evolution gets real: particle filtering for time-varying parameter estimation in deterministic dynamical systems
• Tracking of a time-varying acoustic impulse response by an adaptive filter
• Adaptive overfitting lattice filter for parameter estimation of time- varying 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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