scholarly journals Nonparametric estimation of time varying parameters under shape restrictions

2005 ◽  
Vol 126 (1) ◽  
pp. 53-77 ◽  
Author(s):  
Susan Orbe ◽  
Eva Ferreira ◽  
Juan Rodriguez-Poo
Keyword(s):  
Nonparametric Estimation ◽  
Time Varying ◽  
Varying Parameters ◽  
Shape Restrictions ◽  
Time Varying Parameters ◽  
Estimation Of Time

Adaptive Estimation of Time-Varying Parameters in Linearly Parametrized Systems

2005 ◽  
Vol 128 (3) ◽  
pp. 691-695 ◽  
Author(s):  
Yongliang Zhu ◽  
Prabhakar R. Pagilla
Keyword(s):  
Adaptive Estimation ◽  
Parameter Estimate ◽  
Time Varying ◽  
Time Intervals ◽  
Varying Parameters ◽  
Time Varying Parameter ◽  
Time Varying Parameters ◽  
Parametrized Systems ◽  
Simulation Results ◽  
Estimation Of Time

Adaptive estimation of time-varying parameters in linearly parametrized systems is considered. The estimation time is divided into small intervals; in each interval the time-varying parameter is approximated by a time polynomial with unknown coefficients. A condition for resetting of the parameter estimate at the beginning of each interval is derived; the condition guarantees that the estimate of the time-varying parameter is continuous and also allows for the coefficients of the polynomial to be different in various time intervals. A modified version of the least-squares algorithm is provided to estimate the time-varying parameters. Stability of the proposed algorithm is shown and discussed. Simulation results on an example are given to validate the proposed method.

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