IDENTIFICATION OF ARI MODEL WITH APPLICATIONS TO ON-LINE TREND DETECTIONS.

Shu ichi Adachi, Akira Sano, Koh ichi Hashimoto

研究成果: Conference contribution

抄録

This paper investigates the recursive adaptive algorithms for rapidly detecting various stochastic trends in signals by modeling them as the autoregressive integrated(ARI) process. In order to determine the degree of differencing which represents the changing rate of nonstationary trend components, we derive a new criterion on a basis of the concept of the AIC. The generalized gradient(GG) algorithm and the normalized least squares lattice(NLSL) filter are utilized to identify coefficient parameters in the ARI model in an on-line manner. The effectiveness of the algorithms is examined through numerical simulation using actual data.

本文言語English
ホスト出版物のタイトルIFAC Proceedings Series
出版社Pergamon Press
ページ1491-1496
ページ数6
7
ISBN(印刷版)0080325424
出版ステータスPublished - 1985 12 1

出版物シリーズ

名前IFAC Proceedings Series
番号7
ISSN(印刷版)0741-1146

ASJC Scopus subject areas

  • Engineering(all)

フィンガープリント 「IDENTIFICATION OF ARI MODEL WITH APPLICATIONS TO ON-LINE TREND DETECTIONS.」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル