Time-domain estimation of time-varying linear systems
Chang Chiann, Pedro A. Morettin · Journal of nonparametric statistics · 2005
Introduction This work presents time domain estimation of time-varying linear systems of the form Y t;T = P T X u= P T a u (t=T )X t u;T + (t=T ) t ; t = 1; 2; : : : ; T; (1) for some P T , 0 P T < 1, where the t 's are independent, identically distributed random variables, with zero mean, variance one and orthogonal to X t;T . Assume also that (u) is continuous, with C 1 (u) C 2 on [0; 1]. The functions a u are supported on the interval [0;