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Karny, Miroslav

Recursive parameter estimation of regression model when the interval of possible values is given. (English) Zbl 0482.62019

Kybernetika 18, 37-49 (1982).
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MSC:

62F15 Bayesian inference
62H12 Estimation in multivariate analysis
93E12 Identification in stochastic control theory
93E10 Estimation and detection in stochastic control theory
62J05 Linear regression; mixed models

Keywords:

a posteriori maximum likelihood estimation; Fletcher-Jackson algorithm; Bayesian identification; recursive least squares

Citations:

Zbl 0301.90032
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\textit{M. Karny}, Kybernetika 18, 37--49 (1982; Zbl 0482.62019)
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References:

[1] R. Fletcher M. P. Jackson: Minimization of a quadratic function of many variables subject only to lower and upper bounds. J. Inst. Math. Appl. 14 (1976), 159-174. · Zbl 0301.90032
[2] V. Peterka: Bayesian approach to system identification. Trends and Progress in System Identification (P. Eykhoff, IFAC Series for Graduates, Research Workers and Practicing Engineers 1 (1981). · Zbl 0451.93059
[3] V. Peterka: Experience accumulation for decision making in multivariate time series. Problems Control Inform. Theory 7 (1978), 143-159. · Zbl 0396.93045
[4] M. H. De Groot: Optimal Statistical Decisions. McGraw-Hill, New York 1970.
[5] M. Kárný: Probabilistic Identification and Self-Reproducing Forms of Distribution Functions. (in Czech). Ph. D. Dissertation, Institute of Information Theory and Automation of the Czechoslovak Academy of Sciences, Prague 1976.
[6] L. Ljung: Analysis of vector stochastic algorithms. IEEE Trans. Autom. Control AC-22 (1977), 551-579. · Zbl 0362.93031
[7] G. K. Keľmans A. S. Poznyak A. V. Chernitser: Adaptive locally optimal control. Internat. J. Systems Sci. 12 (1981), 235-254. · Zbl 0464.93052
[8] M. Kárný J. Böhm A. Halousková: Identification and Control of Cold Rolling System. (in Czech). Internal Report o.p. Škoda Válcovny 1980.
[9] M. Kárný: Automated structure determination of regression model.
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