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Local Polynomial Approximation of Rapidly Time-Varying Parameters of Nonlinear Dynamics

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Compstat

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Abstract

The kernel approach and the local polynomial approximation (LPA) define a class of nonparametric estimators for unknown time-varying parameters of a dynamic process model.The technique is applicable to the tracking the rapidly time-varying parameters and their derivatives. The a priori information about amplitude values of the parameters and their derivatives can be incorporated in a natural way into the algorithm in order to improve the accuracy of the estimation. Simulation results for tracking a time-varying frequency are presented.

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References

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Author information

Authors and Affiliations

  1. Department of Statistics, University of South Africa, USA

    Vladimir Y. Katkovnik

Authors
  1. Vladimir Y. Katkovnik
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Editor information

Editors and Affiliations

  1. Department for Statistics and Probability Theory, University of Technology Vienna, Wiedner Hauptstraße 8-10, A-1040, Vienna, Austria

    Rudolf Dutter

  2. Department of Statistics, OR and Computer Science, University Vienna, Universitätsstraße 5, A-1010, Vienna, Austria

    Wilfried Grossmann

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© 1994 Springer-Verlag Berlin Heidelberg

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Katkovnik, V.Y. (1994). Local Polynomial Approximation of Rapidly Time-Varying Parameters of Nonlinear Dynamics. In: Dutter, R., Grossmann, W. (eds) Compstat. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-52463-9_6

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  • DOI: https://doi.org/10.1007/978-3-642-52463-9_6

  • Publisher Name: Physica, Heidelberg

  • Print ISBN: 978-3-7908-0793-6

  • Online ISBN: 978-3-642-52463-9

  • eBook Packages: Springer Book Archive

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