Smoothness priors transfer function estimation

DOI10.1016/0005-1098(89)90103-9zbMath0694.93095OpenAlexW2073882519MaRDI QIDQ909631

Will Gersch, Genshiro Kitagawa

Publication date: 1989

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(89)90103-9

zbMATH Keywords

smoothness priorstime series analysistransfer function estimationBox-Jenkins (BJ) series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10)

Related Items (7)

An iterative state-space identification method with data correlation for MIMO systems with measurement noise ⋮ Modelling of uncertain systems via linear programming ⋮ Directed attention and nonparametric learning ⋮ Smoothness priors transfer function estimation ⋮ Stabilization of smoothness priors time-varying autoregressive models ⋮ Frequency domain characteristics of linear operator to decompose a time series into the multi-components ⋮ Application of regularized Savitzky-Golay filters to identification of time-varying systems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Smoothness priors transfer function estimation
• Smoothness priors analysis of time series
• Undamped oscillation of the sample autocovariance function and the effect of prewhitening operation
• A smoothness priors time-varying AR coefficient modeling of nonstationary covariance time series
• A smoothness priors long AR model method for spectral estimation
• Optimal estimation of time series functions
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Density Estimation and Bump-Hunting by the Penalized Likelihood Method Exemplified by Scattering and Meteorite Data
• A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER
• A Distributed Lag Estimator Derived from Smoothness Priors
• Advanced methods of recursive time-series analysis

This page was built for publication: Smoothness priors transfer function estimation