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Minimum Variance Prediction for Linear Time-Varying Systems

Li, Zheng ; Evans, R J and Wittenmark, Björn LU (1994) 10th IFAC Symposium on System Identification, SYSID'94 27:8.
Abstract
In this paper we study the problem of minimum variance prediction for linear time-varying systems. We consider the standard time-varying autoregression moving average (ARMA) model and develop a predictor which guarantees minimum variance prediction for a large class of linear time-varying systems. The predictor is developed based on a pseudocommutation technique for dealing with noncommutativity of linear time-varying operators in a transfer operator framework. We also show connections between this input-output predictor and the Kalman predictor via an example.
Please use this url to cite or link to this publication:
author
; and
organization
publishing date
type
Chapter in Book/Report/Conference proceeding
publication status
published
subject
host publication
IFAC Proceedings Volumes
volume
27:8
conference name
10th IFAC Symposium on System Identification, SYSID'94
conference location
Copenhagen, Denmark
conference dates
1994-07-04
DOI
10.1016/S1474-6670(17)47783-4
language
English
LU publication?
yes
id
bf93861c-ecd3-45c9-a1de-3dc509785f60 (old id 4810368)
date added to LUP
2016-04-04 13:27:52
date last changed
2022-05-19 12:56:18
@inproceedings{bf93861c-ecd3-45c9-a1de-3dc509785f60,
  abstract     = {{In this paper we study the problem of minimum variance prediction for linear time-varying systems. We consider the standard time-varying autoregression moving average (ARMA) model and develop a predictor which guarantees minimum variance prediction for a large class of linear time-varying systems. The predictor is developed based on a pseudocommutation technique for dealing with noncommutativity of linear time-varying operators in a transfer operator framework. We also show connections between this input-output predictor and the Kalman predictor via an example.}},
  author       = {{Li, Zheng and Evans, R J and Wittenmark, Björn}},
  booktitle    = {{IFAC Proceedings Volumes}},
  language     = {{eng}},
  title        = {{Minimum Variance Prediction for Linear Time-Varying Systems}},
  url          = {{http://dx.doi.org/10.1016/S1474-6670(17)47783-4}},
  doi          = {{10.1016/S1474-6670(17)47783-4}},
  volume       = {{27:8}},
  year         = {{1994}},
}