State-dependent vector hybrid linear and nonlinear ARMA modeling: Theory

DOI10.1007/BF01201978MaRDI QIDQ5953488zbMATH OpenFDO

Authors Y. Zheng, Zhiping Lin, D. B. H. Tay

Publication date 24 January 2002

Published in Circuits, Systems, and Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF01201978

zbMATH Keywords

ARMA modelautoregressive moving average modelexpectation-maximization algorithmfeedforward neural networkhidden Markov chainidentificationmaximum likelihood estimationnonstationary nonlinear processreliable multiple step ahead predictionsecond-order correlation

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12)

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Cites work

• Analysis of time series subject to changes in regime
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• On the convergence properties of the EM algorithm
• Optimization. Algorithms and consistent approximations
• State-dependent vector hybrid linear and nonlinear ARMA modeling: Applications

Cited in

(4)

• State representations of ARMA-models
• Hidden multi-resolution ARMA models for nonlinear time series forecasting
• State-dependent vector hybrid linear and nonlinear ARMA modeling: Applications
• LPV-ARX representations of LPV state-space models with affine dependence

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