NDLI: Algorithm for Vector Autoregressive Model Parameter Estimation Using an Orthogonalization Procedure

Content Provider	Springer Nature Link
Author	Bagarinao, Epifanio Sato, Shunsuke
Copyright Year	2002
Abstract	We review the derivation of the fast orthogonal search algorithm, first proposed by Korenberg, with emphasis on its application to the problem of estimating coefficient matrices of vector autoregressive models. New aspects of the algorithm not previously considered are examined. One of these is the application of the algorithm to estimate coefficient matrices of a vector autoregressive process with time-varying coefficients when multiple realizations of the said process are available. Computer simulations were also performed to characterize the statistical properties of the estimates. The results show that even for shorter time series the algorithm works well and obtains good estimates of the time-varying parameters. Statistical characterization indicates that the standard deviation of the estimates decreases as $${1 \mathord{\left/ {\vphantom {1 {\sqrt N }}} \right. -} {\sqrt N }}{\text{ }}\left( N \right.$$ being the length of the time series), a typical behavior of least-squares estimators. Another key aspect of the approach, which has previously been considered, is its direct extension to the parameter estimation of vector nonlinear autoregressive models. Nonlinear terms can be added to the model and the same algorithm can be applied to effectively estimate their associated parameters. Using chaotic time series generated from the Lorenz equations, the algorithm produces a model that captures the nonlinear structure of the data and exhibits the same chaotic attractor as that of the original system. © 2002 Biomedical Engineering Society. PAC2002: 8710+e, 0210Yn, 0230Lt
Starting Page	260
Ending Page	271
Page Count	12
File Format	PDF
ISSN	00906964
Journal	Annals of Biomedical Engineering
Volume Number	30
Issue Number	2
e-ISSN	15739686
Language	English
Publisher	Kluwer Academic Publishers-Plenum Publishers
Publisher Date	2002-01-01
Publisher Place	New York
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Biochemistry Mechanics Biophysics/Biomedical Physics Vibration, Dynamical Systems, Control Biomedical Engineering
Content Type	Text
Resource Type	Article
Subject	Biomedical Engineering

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