Smooth Online Parameter Estimation for time varying VAR models with application to rat's LFP data
时变 VAR 模型的平滑在线参数估计:大鼠局部场电位应用
Multivariate time series data appear often as realizations of non-stationary processes where the covariance matrix or spectral matrix smoothly evolve over time. Most of the current approaches estimate the time-varying spectral properties only retrospectively - that is, after the entire data has been observed. Retrospective estimation is a major limitation in many adaptive control applications where it is important to estimate these properties and detect changes in the system…