一种线性动态模型参数估计方法
An Algorithm for Eestimation of Parameters in Linear Dynamic Model
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摘要: 本文提出一种线性动态模型参数估计方法,该算法改进并推广了Durbin算法.它能在 噪声过程结构未知时,给出实际过程和噪声过程参数的全局P相容估值.五个数字仿真例子 表明了算法的有效性.Abstract: This paper presents an algorithm for estimating parameters in linear dynamic model with unknown structure of noisy process. It is an extension and modificatio of Durbin's algorithm. It can yield the (globally) consistent estimates of both real process and noisy process. Five simulation examples illustrate its effectiveness.
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Key words:
- Time series /
- System identification /
- Parameter estimation /
- Linear system
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