Parameter Estimation of the AR Model Based on Interval Analysis
Weifeng Yang, Fangling Zeng · 2008
The reasons why interval analysis is used in parameter estimation are discussed, then the interval algorithm is presented for parameter estimation of a AR model in the unknown-but-bounded (UBB) error context. The basic information of the MATLAB toolbox-INTLAB is introduced, and the INTLAB is applied to the numerical example which based on the presented algorithm. The simulation shows the effectiveness and feasibility of the algorithm.