摘要
本文针对推广的Box-Jenkins型多变量传递函数模型,提出了实用的建模预报新算法。算法中包括本文提出的噪声统计特性指数加权有限记忆自适应估计器(EWLMAE)和双置信区间的不良数据检测方法,以及估计预报算式。相对于其他算法,因算法全部采用线性算式,系统部分和噪声部分参数同时估计,故计算较简单,收敛速度较快。仿真和应用结果验证了所提算法的有效性。
In this paper, a practical algorithm of modeling and forecasting is presented for the extended Box-Jenkins multivariable time series transfer-function model. It contains an Exponent-Weighted Limited Memory Adaptive Estimator for statistic property of noise, and a measuring method of double believable intervals for outliers as well as the estimating and forecasting formulas. Compared with other algorithms, its calculation is simpler and the speed of convergence is faster because the algorithm is linear and both the system parameters and the noise parameters of the transfer-function model are estimated simultaneously. The efficiency of the algorithm has been proved by simulation and application.
出处
《自动化学报》
EI
CSCD
北大核心
1990年第2期156-160,共5页
Acta Automatica Sinica
