Proceedings of the IEEK Conference (대한전자공학회:학술대회논문집)
- 2000.07b
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- Pages.1111-1114
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- 2000
An Estimation of Nonlinear Time Series with ARCH errors using ECtBnS algorithm
- Asato, Hajime (Faculty of Engineering, University of The Ryukyus) ;
- Miyagi, Hauao (Faculty of Engineering, University of The Ryukyus) ;
- Yamashita, Katsumi (Graduate School of Engineering, Osaka Prefecture University)
- Published : 2000.07.01
Abstract
In this paper, a method of estimating second-order Volterra model with ARCH errors is presented. Then we use an ECLMS algorithm for noise canceling of nonlinear time series. The validity of the proposed method is demonstrated for estimating second-order Volterra model with ARCH errors, using computer simulations.
Keywords