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Citation

Ajgl Jiří and Šimandl Miroslav : Prediction Error Method with Multi-Step Criterion . Proceedings of the 2nd Young Researchers Conference on Applied Sciences, p. 1-6, Západočeská univerzita v Plzni, Plzeň, 2008.

Abstract

The paper deals with parameter estimation of stochastic dynamic systems. The stress is laid on prediction error method which estimates model parameters minimizing the optimally determined one-step-ahead output prediction error. The new multi-step-ahead output prediction error criterion is used and the corresponding relations for parameter estimate are described. The results are illustrated in numerical examples.

Detail of publication

Title: Prediction Error Method with Multi-Step Criterion
Author: Ajgl Jiří ; Šimandl Miroslav
Language: English
Year: 2008
Type of publication: Papers in proceedings of reviewed conferences
Title of journal or book: Proceedings of the 2nd Young Researchers Conference on Applied Sciences
Page: 1 - 6
ISBN: 978-80-7043-698-1
Publisher: Západočeská univerzita v Plzni
Address: Plzeň
Date: 11 Nov 2008
2011-03-15 16:21:30 / 2011-03-15 16:21:30 / 1

Keywords

System identification, prediction error method, optimal prediction, parameter estimation, stochastic systems.

BibTeX

@INPROCEEDINGS{AjglJiri_2008_PredictionError,
 author = {Ajgl Ji\v{r}\'{i} and \v{S}imandl Miroslav},
 title = {Prediction Error Method with Multi-Step Criterion},
 year = {2008},
 publisher = {Z\'{a}pado\v{c}esk\'{a} univerzita v Plzni},
 journal = {Proceedings of the 2nd Young Researchers Conference on Applied Sciences},
 address = {Plze\v{n}},
 pages = {1-6},
 ISBN = {978-80-7043-698-1},
 url = {http://www.kky.zcu.cz/en/publications/AjglJiri_2008_PredictionError},
}