Displaying similar documents to “Identification of an unstable ARMA equation.”

Nonparametric instrumental variables for identification of block-oriented systems

Grzegorz Mzyk (2013)

International Journal of Applied Mathematics and Computer Science

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A combined, parametric-nonparametric identification algorithm for a special case of NARMAX systems is proposed. The parameters of individual blocks are aggregated in one matrix (including mixed products of parameters). The matrix is estimated by an instrumental variables technique with the instruments generated by a nonparametric kernel method. Finally, the result is decomposed to obtain parameters of the system elements. The consistency of the proposed estimate is proved and the rate...

AR models with uniformly distributed noise

Michal Horváth (1989)

Aplikace matematiky

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AR models are frequently used but usually with normally distributed white noise. In this paper AR model with uniformly distributed white noise are introduces. The maximum likelihood estimation of unknown parameters is treated, iterative method for the calculation of estimates is presented. A numerical example of this procedure and simulation results are also given.