Matrix forgetting factor

Author: Poznyak A. S.   Juarez J. J. Medel  

Publisher: Taylor & Francis Ltd

ISSN: 1464-5319

Source: International Journal of Systems Science, Vol.30, Iss.2, 1999-02, pp. : 165-174

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Abstract

This study suggests a new approach to provide time-varying parameter estimates in ARMA (Auto Regression Moving Average) models of stochastic nature based on the use of the recursive version of Instrumental Variable Method (IVM) with a Matrix Forgetting Factor (MFF). This combination is a tool for estimating the entries of a nonstationary parameter matrix involved in the ARMA model. An asymptotic analysis of the error matrix is presented. Simulation results demonstrate the effectiveness of the suggested approach.