TIME VARYING, NONLINEAR AR MODEL IDENTIFICATION: LAINIOTIS' MULTI MODEL METHODOLOGY

DOI10.1081/SAP-120014548zbMath1015.62091OpenAlexW1995553188MaRDI QIDQ4797318

E. N. Demiris, S. D. Likothanassis

Publication date: 17 June 2003

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-120014548

zbMATH Keywords

system identificationmulti-model partitioning theorynonlinear AR models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Fitting autoregressive models for prediction
• A stochastic analysis of a modified gain extended Kalman filter with applications to estimation with bearings only measurements
• On the optimal and suboptimal nonlinear filtering problem for discrete-time systems

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