Parameter Estimation of Autoregressive-Exogenous and Autoregressive Models Subject to Missing Data Using Expectation Maximization

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Parameter estimation for non-Gaussian autoregressive processes

It is proposed to jointly estimate the parameters of nonGaussian autoregressive (AR) processes in a Bayesian context using the Gibbs sampler. Using the Markov chains produced by the sampler an approximation to the vector MAP estimator is implemented. The results reported here used AR(4) models driven by noise sequences where each sample is iid as a two component Gaussian sum mixture. The result...

متن کامل

Blast Furnace Dynamics Using Multiple Autoregressive Models with Exogenous Inputs

Autoregressive models with exogenous inputs are useful tools for analyzing systems with unknown dynamics, but are limited by the assumption that the relations between inputs and output(s) are linear. For complex systems with nonlinear or abruptly changing dynamics it is possible to modify the technique by allowing for multiple local models and designing a strategy for switching between them. A ...

متن کامل

Neglecting Parameter Changes in Autoregressive Models

We study situations in which autoregressive models are estimated on time series that contain switches in the data generating parameters and these switches are not accounted for. The geometry of this estimation problem causes estimated vector autoregressive models to display a unit eigenvalue, and the sum of the estimated autoregressive parameters of ARMA and GARCH models to be close to one. Thi...

متن کامل

Unsupervised texture segmentation/classification using 2-D autoregressive modeling and the stochastic expectation-maximization algorithm

The problem of textured image segmentation upon an unsupervised scheme is addressed. In the past two decades, there has been much interest in segmenting images involving complex random or structural texture patterns. However, most unsupervised segmentation techniques generally suffer from the lack of information about the correct number of texture classes. Therefore, this number is often assume...

متن کامل

Data-driven estimation of semiparametric fractional autoregressive models

In this paper data-driven algorithms for tting SEMIFAR models (Beran, 1999) are proposed. The algorithms combine the data-driven estimation of the nonparametric trend and maximum likelihood estimation of the parameters. For selecting the bandwidth, the proposal of Beran and Feng (1999) based on the iterative plug-in idea (Gasser et al., 1991) is used. Asymptotic properties of the proposed algor...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Frontiers in Built Environment

سال: 2019

ISSN: 2297-3362

DOI: 10.3389/fbuil.2019.00109