Tracking time-varying parameters with local regression
| Autor: | Alfred K. Joensen, Torben Skov Nielsen, Henrik Madsen, Henrik Aa. Nielsen |
|---|---|
| Rok vydání: | 2000 |
| Předmět: |
Recursive least squares filter
Mathematical optimization Computer Science::Sound Control and Systems Engineering Polynomial approximations Simple (abstract algebra) Forgetting factor Local regression Electrical and Electronic Engineering Special case Tracking (particle physics) Algorithm Mathematics |
| Zdroj: | Automatica. 36:1199-1204 |
| ISSN: | 0005-1098 |
| DOI: | 10.1016/s0005-1098(00)00029-7 |
| Popis: | This paper shows that the recursive least-squares (RLS) algorithm with forgetting factor is a special case of a varying-coefficient model, and a model which can easily be estimated via simple local regression. This observation allows us to formulate a new method which retains the RLS algorithm, but extends the algorithm by including polynomial approximations. Simulation results are provided, which indicates that this new method is superior to the classical RLS method, if the parameter variations are smooth. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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