ADAPTIVE IDENTIFICATION OF AUTOREGRESSIVE PROCESSES

被引:11
作者
HOSHIYA, M
MARUYAMA, O
机构
[1] Dept. of Civ. Engrg., Musashi Inst, of Tech., Tokyo, 158, 1-28-1, Tamazutsumi Setagaya-ku
来源
JOURNAL OF ENGINEERING MECHANICS-ASCE | 1991年 / 117卷 / 07期
关键词
D O I
10.1061/(ASCE)0733-9399(1991)117:7(1442)
中图分类号
TH [机械、仪表工业];
学科分类号
0802 ;
摘要
Adaptive identification problems on coefficient matrices of an auto-regressive model for multivariate and one-dimensional nonstationary Gaussian random processes are investigated by applying the extended Kalman filter incorporated with a weighted global iteration. The major contributions of the present paper are the use of the extended Kalman filter for estimating time-varying model parameters recursively, and the development of an effective method in terms of computer time. The results indicate that the coefficients of this recursive equation are identified simply, but extremely well, at the stage of their stable convergence to optimum. It is suggested that the method be applied for the analysis of multiple-point array data of earthquake ground motion.
引用
收藏
页码:1442 / 1454
页数:13
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