0312688 - ÚTIA 2009 RIV SI eng C - Konferenční příspěvek (zahraniční konf.)
Dedecius, Kamil
Partial Forgetting in Autoregression Models.
[Parciální zapomínání v autoregresních modelech.]
Proceedings of the 9th International PhD Workshop on Systems and Control, Young Generation Viewpoint. Izola: Jozef Stefan Institute, 2008 - (Gašperin, M.; Pregelj, B.), s. 1-6. ISBN 978-961-264-003-3.
[9th International PhD Workshop on Systems and Control: A Young Generation Viewpoint. Izola (SI), 01.10.2008-03.10.2008]
Výzkumný záměr: CEZ:AV0Z10750506
Klíčová slova: autoregression model * forgetting * partial forgetting * estimation
Kód oboru RIV: BC - Teorie a systémy řízení
http://library.utia.cas.cz/separaty/2008/AS/dedecius-partial%20forgetting%20in%20autoregression%20models.pdf

The assumption of constant parameters of the autoregression model sometimes fails, as the parameters may vary in time. If the parameters vary slowly, the problem is often solved using various forgetting methods like exponential forgetting, linear forgetting etc. However, most of them work on the model parameters probability density function with one common forgetting rate. In the case of different variability of individual parameters, these methods might fail. The developed partial forgetting method gives a new approach, which solves this problem. It releases individual parameters and allows them to change with different rates.

Parciální zapomínání v autoregresních modelech
Trvalý link: http://hdl.handle.net/11104/0163686