Estimation and prediction with ARMMAX model: a mixture of ARMAX models with common ARX part

DOI10.1002/ACS.747MaRDI QIDQ4707178zbMATH OpenOpenAlexFDO

Authors

Publication date 10 June 2003

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.747

zbMATH Keywords

Bayesian estimationARMAX modelfinite mixturesmulti-directional search

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10)

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Cites work

• scientific article; zbMATH DE number 879773 (Why is no real title available?)
• Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions
• On Information and Sufficiency
• On the Convergence of the Multidirectional Search Algorithm
• Quantification of prior information revised

Cited in

(8)

• Moving horizon estimation for ARMAX processes with additive output noise
• Estimation of ARMAX processes with noise corrupted output signal observations
• scientific article; zbMATH DE number 4016751 (Why is no real title available?)
• Projection-based Bayesian recursive estimation of ARX model with uniform innovations
• Parametric identification of ARMAX models with unknown forming filters
• Large signal-to-noise ratio quantification in MLE for ARARMAX models
• Robust estimation of autoregressive processes using a mixture-based filter-bank
• Constructing NARMAX models using ARMAX models

Describes a project that uses

Uses Software

• fminsearch

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