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Multiple Model Adaptive Estimation for Time Series Analysis

Multiple Model Adaptive Estimation for Time Series Analysis PDF Author: Ibrahim Dulger
Publisher:
ISBN: 9781423529293
Category : Economic forecasting
Languages : en
Pages : 153

Book Description
Multiple Model Adaptive Estimation (MMAE) is a Bayesian technique that applies a bank of Kalman filters to predict future observations. Each Kalman filter is based on a different set of parameters and hence produces different residuals. The likelihood of each Kalman filter's prediction is determined by a magnitude of the residuals. Since some researchers have obtained good forecasts using a single Kalman filter, we tested MMAE's ability to make time series predictions. Our Kalman filters have a dynamics model based on a Box-Jenkins Auto-Regressive Moving Average (ARMA) model and a measure model with additive noise. The time-series prediction is based on the probabilistic weighted Kalman filter predictions. We make a probability interval about that estimate also based on the filter probabilities. In a Monte Carlo analysis, we test this MMAE approach and report the results based on many different criteria. Our analysis tests the robustness of the approach by testing its ability to make predictions when the Kalman filter dynamics models did not match the data generation time-series model. Our analysis indicates benefits in applying multiple model adaptive estimation for time series analysis.

Multiple Model Adaptive Estimation for Time Series Analysis

Multiple Model Adaptive Estimation for Time Series Analysis PDF Author: Ibrahim Dulger
Publisher:
ISBN: 9781423529293
Category : Economic forecasting
Languages : en
Pages : 153

Book Description
Multiple Model Adaptive Estimation (MMAE) is a Bayesian technique that applies a bank of Kalman filters to predict future observations. Each Kalman filter is based on a different set of parameters and hence produces different residuals. The likelihood of each Kalman filter's prediction is determined by a magnitude of the residuals. Since some researchers have obtained good forecasts using a single Kalman filter, we tested MMAE's ability to make time series predictions. Our Kalman filters have a dynamics model based on a Box-Jenkins Auto-Regressive Moving Average (ARMA) model and a measure model with additive noise. The time-series prediction is based on the probabilistic weighted Kalman filter predictions. We make a probability interval about that estimate also based on the filter probabilities. In a Monte Carlo analysis, we test this MMAE approach and report the results based on many different criteria. Our analysis tests the robustness of the approach by testing its ability to make predictions when the Kalman filter dynamics models did not match the data generation time-series model. Our analysis indicates benefits in applying multiple model adaptive estimation for time series analysis.

Control and Dynamic Systems V31: Advances in Aerospace Systems Dynamics and Control Systems Part 1 of 3

Control and Dynamic Systems V31: Advances in Aerospace Systems Dynamics and Control Systems Part 1 of 3 PDF Author: C.T. Leonides
Publisher: Elsevier
ISBN: 0323162398
Category : Technology & Engineering
Languages : en
Pages : 279

Book Description
Control and Dynamic Systems: Advances in Theory in Applications, Volume 31: Advances in Aerospace Systems Dynamics and Control Systems, Part 1 of 3 deals with significant advances in technologies which support the development of aerospace systems. It also presents several algorithms and computational techniques used in complex aerospace systems. The techniques discussed in this volume include: moving-bank multiple model adaptive estimation, algorithms for multitarget sensor tracking systems; algorithms in differential dynamic programming; optimal control of linear stochastic systems; and normalized predictive deconvulation. This book is an important reference for practitioners in the field who want a comprehensive source of techniques with significant applied implications.

Scientific and Technical Aerospace Reports

Scientific and Technical Aerospace Reports PDF Author:
Publisher:
ISBN:
Category : Aeronautics
Languages : en
Pages : 1002

Book Description


Stochastic Models: Estimation and Control: v. 2

Stochastic Models: Estimation and Control: v. 2 PDF Author: Maybeck
Publisher: Academic Press
ISBN: 0080956513
Category : Mathematics
Languages : en
Pages : 307

Book Description
Stochastic Models: Estimation and Control: v. 2

Econometric Theory and Practice

Econometric Theory and Practice PDF Author: P. C. B. Phillips
Publisher: Cambridge University Press
ISBN: 9780521807234
Category : Business & Economics
Languages : en
Pages : 390

Book Description
The essays in this book explore important theoretical and applied advances in econometrics.

Kalman Filtering

Kalman Filtering PDF Author: Mohinder S. Grewal
Publisher: John Wiley & Sons
ISBN: 111898496X
Category : Technology & Engineering
Languages : en
Pages : 639

Book Description
The definitive textbook and professional reference on Kalman Filtering – fully updated, revised, and expanded This book contains the latest developments in the implementation and application of Kalman filtering. Authors Grewal and Andrews draw upon their decades of experience to offer an in-depth examination of the subtleties, common pitfalls, and limitations of estimation theory as it applies to real-world situations. They present many illustrative examples including adaptations for nonlinear filtering, global navigation satellite systems, the error modeling of gyros and accelerometers, inertial navigation systems, and freeway traffic control. Kalman Filtering: Theory and Practice Using MATLAB, Fourth Edition is an ideal textbook in advanced undergraduate and beginning graduate courses in stochastic processes and Kalman filtering. It is also appropriate for self-instruction or review by practicing engineers and scientists who want to learn more about this important topic.

Scientific and Technical Aerospace Reports

Scientific and Technical Aerospace Reports PDF Author:
Publisher:
ISBN:
Category : Aeronautics
Languages : en
Pages : 610

Book Description
Lists citations with abstracts for aerospace related reports obtained from world wide sources and announces documents that have recently been entered into the NASA Scientific and Technical Information Database.

Sensor Fusion and its Applications

Sensor Fusion and its Applications PDF Author: Ciza Thomas
Publisher: BoD – Books on Demand
ISBN: 953307101X
Category : Computers
Languages : en
Pages : 498

Book Description
This book aims to explore the latest practices and research works in the area of sensor fusion. The book intends to provide a collection of novel ideas, theories, and solutions related to the research areas in the field of sensor fusion. This book is a unique, comprehensive, and up-to-date resource for sensor fusion systems designers. This book is appropriate for use as an upper division undergraduate or graduate level text book. It should also be of interest to researchers, who need to process and interpret the sensor data in most scientific and engineering fields. The initial chapters in this book provide a general overview of sensor fusion. The later chapters focus mostly on the applications of sensor fusion. Much of this work has been published in refereed journals and conference proceedings and these papers have been modified and edited for content and style. With contributions from the world's leading fusion researchers and academicians, this book has 22 chapters covering the fundamental theory and cutting-edge developments that are driving this field.

Masters Theses in the Pure and Applied Sciences

Masters Theses in the Pure and Applied Sciences PDF Author: Wade H. Shafer
Publisher: Springer Science & Business Media
ISBN: 1461303931
Category : Science
Languages : en
Pages : 427

Book Description
Masters Theses in the Pure and Applied Sciences was first conceived, published, and disseminated by the Center for Information and Numerical Data Analysis and Synthesis (CINDAS)* at Purdue University in 1957, starting its coverage of theses with the academic year 1955. Beginning with Volume 13, the printing and dis semination phases of the activity were transferred to University Microfilms/Xerox of Ann Arbor, Michigan, with the thought that such an arrangement would be more beneficial to the academic and general scientific and technical community. After five years of this joint undertaking we had concluded that it was in the interest of all concerned if the printing and distribution of the volumes were handled by an international publishing house to assure improved service and broader dissemination. Hence, starting with Volume 18, Masters Theses in the Pure and Applied Sciences has been disseminated on a worldwide basis by Plenum Publishing Corporation of New York, and in the same year the coverage was broadened to include Canadian universities. All back issues can also be ordered from Plenum. We have reported in Volume 39 (thesis year 1994) a total of 13,953 thesis titles from 21 Canadian and 159 United States universities. We are sure that this broader base for these titles reported will greatly enhance the value of this impor tant annual reference work. While Volume 39 reports theses submitted in 1994, on occasion, certain uni versities do report theses submitted in previous years but not reported at the time.

Statistical Modeling and Analysis for Complex Data Problems

Statistical Modeling and Analysis for Complex Data Problems PDF Author: Pierre Duchesne
Publisher: Springer Science & Business Media
ISBN: 9780387245546
Category : Business & Economics
Languages : en
Pages : 354

Book Description
STATISTICAL MODELING AND ANALYSIS FOR COMPLEX DATA PROBLEMS treats some of today’s more complex problems and it reflects some of the important research directions in the field. Twenty-nine authors—largely from Montreal’s GERAD Multi-University Research Center and who work in areas of theoretical statistics, applied statistics, probability theory, and stochastic processes—present survey chapters on various theoretical and applied problems of importance and interest to researchers and students across a number of academic domains. Some of the areas and topics examined in the volume are: an analysis of complex survey data, the 2000 American presidential election in Florida, data mining, estimation of uncertainty for machine learning algorithms, interacting stochastic processes, dependent data & copulas, Bayesian analysis of hazard rates, re-sampling methods in a periodic replacement problem, statistical testing in genetics and for dependent data, statistical analysis of time series analysis, theoretical and applied stochastic processes, and an efficient non linear filtering algorithm for the position detection of multiple targets. The book examines the methods and problems from a modeling perspective and surveys the state of current research on each topic and provides direction for further research exploration of the area.