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	Convergence of recursive identification for ARMAX process with increasing variances
	Jin Ya ; Luo Guiming
	2010-05-07 ; 2010-05-07
关键词	Theoretical or Mathematical/ autoregressive moving average processes convergence of numerical methods gradient methods noise recursive estimation stochastic processes/ convergence recursive identification autoregressive moving average exogenous model ARMAX variance linear stochastic system colored noise parameter estimation stochastic gradient algorithm diminishing excitation technique martingale difference theory multidimensional signal processing/ B0240Z Other topics in statistics B0290F Interpolation and function approximation (numerical analysis) C1140Z Other topics in statistics C1220 Simulation, modelling and identification C4130 Interpolation and function approximation (numerical analysis)
中文摘要	The autoregressive moving average exogenous (ARMAX) model is commonly adopted for describing linear stochastic systems driven by colored noise. The model is a finite mixture with the ARMA component and external inputs. In this paper we focus on a parameter estimate of the ARMAX model. Classical modeling methods are usually based on the assumption that the driven noise in the moving average (MA) part has bounded variances, while in the model considered here the variances of noise may increase by a power of log n. The plant parameters are identified by the recursive stochastic gradient algorithm. The diminishing excitation technique and some results of martingale difference theory are adopted in order to prove the convergence of the identification. Finally, some simulations are given to show the reliability of the theoretical results.
语种	英语 ; 英语
出版者	Editorial Board of J. of Tsinghua University ; China
内容类型	期刊论文
源URL	[http://hdl.handle.net/123456789/16805]
专题	清华大学
推荐引用方式 GB/T 7714	Jin Ya,Luo Guiming. Convergence of recursive identification for ARMAX process with increasing variances[J],2010, 2010.
APA	Jin Ya,&Luo Guiming.(2010).Convergence of recursive identification for ARMAX process with increasing variances..
MLA	Jin Ya,et al."Convergence of recursive identification for ARMAX process with increasing variances".(2010).

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