The Time-Series Estimation Problem

Abstract

In the first part of this book, we have considered in some detail the recursive estimation of parameters in linear regression models.Such models are, however, primarily utilized in the evaluation of static relationships between variables and, while they may well figure in some aspects of systems analysis (for example the characterization of equilibrium (steady state) behaviour) they are not generally suitable for use in dynamic systems analysis.Of course, dynamic systems can be modeled in various ways and so consideration of methods for estimating the parameters of dynamic system models is dependent to some extent at least on the nature of the model chosen to characterize the system.In this Chapter we will consider a specific class of models for linear stochastic dynamic systems and show how the recursive methods of estimation discussed in the previous chapter can be modified to handle the estimation of the parameters which characterize these models.