METHOD OF IDENTIFICATION OF AUTOREGRESSION-SLIDING MEAN (ARSM) MODEL (Р,Q) WITH RANDOM VALUES OF Р, Q, ORDERS THAT GENERALIZES YULE–WORKER TECHNIQUE

Authors

  • Oleksandr Mokin Vinnytsia National Technical University
  • Vitaliy Mokin Vinnytsia National Technical University
  • Borys Mokin Vinnytsia National Technical University

Keywords:

time series, model of autoregression-sliding mean, Yule-Worker technique, non-linear complement of Yule-Worker technique

Abstract

Method of identification of autoregression sliding mean (ARSM) (р,q) model with random values of
р,q,orders, that generalizes Yule-Worker technique, developed for identification of the model of
autoregression АР(р), in case, when autoregressive component of АР(р) model is complemented with the
component of sliding mean SM(q, is suggested). Algorithm of the suggested method contains both the system
of linear equations of Yule-Worker type for determination of р parameters of autoregression and additional
non-linear equations for identification of q parameters of sliding mean. Operation of the algorithm was
demonstrated on the example p = 3, q = 3.

 

 

 

REFERENCES
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1974. – 408 с.
2. . Бокс Дж. Анализ временных рядов. Прогноз и управление. Вып. 2 / Дж. Бокс, Г. Дженкинс. – М.: Мир,
1974. – 197 с.
3. Мокін Б. І. Математичні методи ідентифікації динамічних систем / Б. І. Мокін, В. Б. Мокін,
О. Б. Мокін. – Вінниця: ВНТУ, 2010. – 260 с.
4. Численные методы / [Данилина Н. И., Дубровская Н. С., Кваша О. П., и др.]. – М.: Высшая школа,
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Author Biographies

Oleksandr Mokin, Vinnytsia National Technical University

Doctor of Science (Eng), Professor, Head of the Chair of Renewable Power and
Transport Electric Systems and Complexes (RETESC)

Vitaliy Mokin, Vinnytsia National Technical University

Doctor of Science (Eng), Professor, Head of the Chair of Computer Ecological and
Economic Monitoring and Engineering Graphics (CEEMEG)

Borys Mokin, Vinnytsia National Technical University

Academician of NAPSU, Doctor of Science (Eng), Professor, Department of Renewable
Power and Transport Electric Systems and Complexes

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Published

2015-11-25

How to Cite

[1]
O. Mokin, V. Mokin, and B. Mokin, “METHOD OF IDENTIFICATION OF AUTOREGRESSION-SLIDING MEAN (ARSM) MODEL (Р,Q) WITH RANDOM VALUES OF Р, Q, ORDERS THAT GENERALIZES YULE–WORKER TECHNIQUE”, Works of VNTU, no. 2, Nov. 2015.

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Information Technologies and Computer Engineering

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