Time-varying system identification via explicit filtering of the parameter estimates

Jerome R. Bellegarda

doi:10.1117/12.49821

1 December 1991 Time-varying system identification via explicit filtering of the parameter estimates

Jerome R. Bellegarda

Proceedings Volume 1566, Advanced Signal Processing Algorithms, Architectures, and Implementations II; (1991) https://doi.org/10.1117/12.49821
Event: San Diego, '91, 1991, San Diego, CA, United States

Abstract

The on-line identification of continuously adaptive rational models is considered for data records which are realizations of nonstationary processes. Emphasis is placed on the treatment of arbitrary time variations for the model coefficients. This motivates a novel approach to time-varying modeling, based only on limited a priori knowledge about the nature of the non- stationarity, namely the expected bandwidth of the time evolution for the parameter vector. The cost criterion considered is a constrained least squares cost functional which incorporates with equal weight all instantaneous errors up to the current time of observation. The constraint is specified from the expected time evolution bandwidth through explicit filtering of the parameters to be estimated. Computational considerations and associated trade-offs are discussed for the modeling of various nonstationary data.

Citation Download Citation

Jerome R. Bellegarda "Time-varying system identification via explicit filtering of the parameter estimates", Proc. SPIE 1566, Advanced Signal Processing Algorithms, Architectures, and Implementations II, (1 December 1991); https://doi.org/10.1117/12.49821

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