A novel method to estimate ARMA time-varying parameter using grey forecasting model

摘要：

　　In this paper,a novel method to estimate ARMA time-varying parameter is proposed,based on ESCGMmv grey forecasting model.The estimation procedure of this method consists of two phases,first estimating online ARMA parameter by the least squares method.Then,using ESCGMmv grey forecasting model to forecast the error between θi and (θ)i.The model gives an adequate description of the system under consideration.Finally,modify the estimate parameter by the estimate error.Simulation results confirm that the propose method can obtain more accurate estimate time-varying parameter.

关键词： ARMA model Model Parameter Time-varying system Grey forecasting model

作者: Weizhen Chen

作者单位: Department of Information and Electrical Engineering, Wuhan Polytechnic University, Wuhan430023, China.

会议类型: 国际会议

会议名称: 2012 2nd international Conference on Materials Science and Information Technology(2012第二届材料科学与信息技术国际会议)(MSIT2012)

会议地点: 西安

会议语种:英文

页码: 876-880

在线出版日期: 2012-08-24（万方平台首次上网日期，不代表论文的发表时间）