Matrix forgetting factor
Alexander S. Poznyak · International Journal of Systems Science · 1999
This study suggests a new approach to provide time-varying parameter estimates in ARMA (Auto Regression Moving Average) models of stochastic nature based on the use of the recursive version of Instrumental Variable Method (IVM) with a Matrix Forgetting Factor (MFF). This combination is a tool for estimating the entries of a nonstationary parameter matrix involved in the ARMA model. An asymptotic analysis of the error matrix is presented. Simulation results demonstrate the effectiveness of the suggested approach.