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Estimation of time series noise covariance using correlation technology
  • ISSN号：1672-6340
  • 期刊名称：Journal of Control Theory and Applications
  • 时间：2011
  • 页码：165-170
  • 分类：TP13[自动化与计算机技术—控制科学与工程;自动化与计算机技术—控制理论与控制工程]
  • 相关基金：supported by the National Science Foundation for Distinguished Young Scholars of China (No. 60925011)
  • 相关项目：复杂陆用武器一体化控制系统的理论、关键技术及应用
作者： Ma, Tao|Chen, Jie|Peng, Zhihong|Chen, Wenjie|
中文摘要：

Covariance of clean signal and observed noise is necessary for extracting clean signal from a time series.This is transferred to calculate the covariance of observed noise and clean signal's MA process,when the clean signal is described by an autoregressive moving average (ARMA) model.Using the correlations of the innovations data from observed time series to form a least-squares problem,a concisely autocovariance least-square (CALS) method has been proposed to estimate the covariance.We also extended our w...

同期刊论文项目
复杂陆用武器一体化控制系统的理论、关键技术及应用
期刊论文 62 会议论文 18 专利 27 著作 2
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