The residual based interactive stochastic gradient algorithms for controlled moving average models

This paper derives a residual based interactive stochastic gradient (ISG) parameter estimation algorithm for controlled moving average (CMA) models and studied the performance of the residual based ISG algorithm under weaker conditions on statistical properties of the noise. Compared with the residu...

Full description

Saved in:
Bibliographic Details
Published in:Applied mathematics and computation 2009-05, Vol.211 (2), p.442-449
Main Authors: Wang, Lingyun, Xie, Li, Wang, Xianfang
Format: Article
Language:English
Subjects:
Controlled moving average (CMA) models
Convergence properties
Exact sciences and technology
Mathematical analysis
Mathematics
Numerical analysis
Numerical analysis. Scientific computation
Parameter estimation
Recursive identification
Sciences and techniques of general use
Stochastic gradient
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:This paper derives a residual based interactive stochastic gradient (ISG) parameter estimation algorithm for controlled moving average (CMA) models and studied the performance of the residual based ISG algorithm under weaker conditions on statistical properties of the noise. Compared with the residual based extended stochastic gradient algorithm for identifying CMA models, the proposed ISG algorithm can give highly accurate parameter estimates by the simulation example.
ISSN:0096-3003
1873-5649
DOI:10.1016/j.amc.2009.01.069