IDEAS home Printed from https://ideas.repec.org/a/taf/nmcmxx/v8y2002i2p185-198.html
   My bibliography  Save this article

A Robust Identification Technique for Time-Varying ARMA Processes Based on Variable Structure Systems Theory

Author

Listed:
  • M. Ö. Eff
  • O. Kaynak
  • B. M. Wilamowski

Abstract

In this paper, a novel method for extracting the values of the coefficients of time-varying ARMA processes is proposed. The approach discussed assumes solely that the orders of the numerator and the denominator polynomials are known. The algorithm is demonstrated to be stable in the sense of Lyapunov, furthermore, it is shown in the paper that the evolution in the parameter space takes place in a finite volume. The proposed method is cost effective and is based on the variable structure systems theory, which is well known with its robustness to uncertainties. In the simulation example, the coefficients of a second order ARMA process is extracted by the use of the algorithm presented. The results confirm the prominent features of the proposed technique.

Suggested Citation

  • M. Ö. Eff & O. Kaynak & B. M. Wilamowski, 2002. "A Robust Identification Technique for Time-Varying ARMA Processes Based on Variable Structure Systems Theory," Mathematical and Computer Modelling of Dynamical Systems, Taylor & Francis Journals, vol. 8(2), pages 185-198, June.
    • Handle: RePEc:taf:nmcmxx:v:8:y:2002:i:2:p:185-198
    DOI: 10.1076/mcmd.8.2.185.8592
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1076/mcmd.8.2.185.8592
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1076/mcmd.8.2.185.8592?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:nmcmxx:v:8:y:2002:i:2:p:185-198. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/NMCM20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.