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WANG Wen-hua, HAN Li, WANG Wen-xing. Parameter Estimation of Time-Varying ARMA Model[J]. JOURNAL OF BEIJING INSTITUTE OF TECHNOLOGY, 2004, 13(2): 131-134.
Citation: WANG Wen-hua, HAN Li, WANG Wen-xing. Parameter Estimation of Time-Varying ARMA Model[J].JOURNAL OF BEIJING INSTITUTE OF TECHNOLOGY, 2004, 13(2): 131-134.
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Parameter Estimation of Time-Varying ARMA Model

  • 1.

    School of Information Science and Technology, Beijing Institute of Technology, Beijing 100081, China

  • 2.

    School of Mechanical, Electronic and Information Engineering, China University of Mining Technology, Beijing 100083, China

  • Received Date:2003-01-18
    Abstract
  • The auto-regressive moving-average (ARMA) model with time-varying parameters is analyzed. The time-varying parameters are assumed to be a linear combination of a set of basis time-varying functions, and the feedback linear estimation algorithm is used to estimate the time-varying parameters of the ARMA model. This algorithm includes 2 linear least squares estimations and a linear filter. The influence of the order of basis time-(varying) functions on parameters estimation is analyzed. The method has the advantage of simple, saving computation time and storage space. Theoretical analysis and experimental results show the validity of this method.
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