摘要
本文提出了一种ARMAX模型参数估计的新方法。这种方法与其它估计方法比较,具有较好的收敛特性。对参数的估计,特别是对C参数的估计,比其它方法精确。这是利用其它方法(如极大似然法,三步法等),一直未能很好解决的一个难题。
Refering to using the multistep (three steps) method, the author proposed a new two stage recursive estimation method in this paper. This method is different from the first two stage of the multistep method, namely, 'this method is different from Durbin's two stage recursive 'estimation. With this new method, a recursive estimation of parameters in ARAMX process was implemented, and a better computer simulation result was obtained. For the computational stability, the square root algorithm was used. In comparison with other recursive estimation method, such as general recursive least square method, recursive maximum likelihood method, three stage recursive estimation method, etc, this new two stage method has good convergence to the true parameters, especially for the parameter C. The simulation of the application of this method to self-tuning control also provided a satisfaotory result.
出处
《通信学报》
EI
CSCD
北大核心
1989年第1期29-35,共7页
Journal on Communications
