Title :
Functional Series Modelling Approach to Identification of Nonstationary Stochastic Systems
Author :
Niedzwiecki, Maciej
Author_Institution :
Department of Systems Engineering, Research School, of Physical Sciences, Australian National University, G.P.O. Box 4, Canberra, A.C.T., Australia.
Abstract :
The problem of identification of a nonstationary stochastic system is considered and the estimation method based on the functional series modelling (FSM) of the system parameter trajectory is proposed for its solution. It is shown that the parameter-matching properties of FSM estimators can be described in terms of the appropriately defined (time-varying) impulse and frequency responses. It is suggested and verified by means of computer simulation that the "averaged" frequency characteristics associated with FSM estimators can gain useful information about their parameter-matching abilities.
Keywords :
Australia; Computer simulation; Difference equations; Frequency estimation; Least squares approximation; Stochastic systems; System identification; Systems engineering and theory; Time varying systems; Vectors;
Conference_Titel :
American Control Conference, 1987
Conference_Location :
Minneapolis, MN, USA
