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The time-varying parameter model
2022This chapter introduces a general form of the time-varying parameter (TVP) model. Unlike most traditional econometric models, which are based on fixed-parameter estimation, the TVP model can capture the dynamics of parameters over the sample period based on the recursive Kalman filter (KF) algorithm. When applied to tourism demand analysis, this unique
Li, Gang +2 more
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Stability of Circuits With Randomly Time-Varying Parameters
IRE Transactions on Circuit Theory, 1959This paper is concerned with the stability, in a stochastic sense, of circuits or systems described by ordinary differential equations with randomly time varying parameters. Sufficient conditions for stability in the mean square are obtained by an extension of "Lyapunov's Second Method" to stochastic problems.
J. E. Bertram, P. E. Sarachik
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ON THE STABILITY OF SYSTEMS WITH MIXED TIME-VARYING PARAMETERS
International Journal of Robust and Nonlinear Control, 1997Summary: The well-known scaled small gain condition guarantees stability for a linear time invariant system subject to bounded complex nonlinear and/or time-varying perturbations. A polynomial time computable condition is derived that can be substantially less conservative for gain scheduled and other multivariable systems with repeated real time ...
Braatz, Richard D., Morari, Manfred
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Time-Varying Parameters Prediction
Annals of the Institute of Statistical Mathematics, 2000zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Time-varying parameters: a critical introduction
Structural Change and Economic Dynamics, 1995Abstract One of the assumptions behind standard econometric techniques is that coefficients are fixed throughout the whole sample period or over all the cross-sectional units. This implies that the economic structure generating the data does not change, but the parameters characterizing the micro-units, along with their aggregate counterparts, do ...
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STATISTICAL LEARNING WITH TIME-VARYING PARAMETERS
Macroeconomic Dynamics, 2003In their landmark paper, Bray and Savin note that the constant-parameters model used by their agents to form expectations is misspecified and that, using standard econometric techniques, agents may be able to determine the time-varying nature of the model's parameters.
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Identification of a Time-Varying Parameter of a Noiseless Sinusoidal Signal
Automation and Remote Control, 2022This paper considers the problem of identifying an unknown time-varying parameter \(\omega(t)\) of a noiseless sinusoidal signal of the form \[ y(t) = \alpha(t) \sin(\omega(t) + \varphi), \] where \(y(t)\) is a directly measurable signal, \(\alpha(t)\) is an unknown amplitude, \(\omega(t)\) is an unknown time-varying parameter, and \(\varphi\) is an ...
Alexey A. Bobtsov +3 more
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Estimation for Time-Varying Parameters
1991Tracking or estimating a system or a signal whose properties vary with time is a fundamental problem in system identification as well as in signal processing. The basic time-varying model is that of a regression: $$ {y_k} = \varphi _k^\tau {\theta _k} + vk,{\text{ }}\forall k \geqslant 0 $$ (10.1) where yk and v k are the scalar output and ...
Chen Han-Fu, Lei Guo
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A VSS identification scheme for time-varying parameters
Automatica, 2003A single input single output nonlinear control system is considered in the presence of an unknown (but bounded) time-varying parameter. An instantaneous VSS identification scheme is proposed under suitable assumptions. This scheme is based on the observation that the system (originally rational in the parameter) becomes linear in the parameter once ...
Jian-Xin Xu 0001 +2 more
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