User`s guide

How to Estimate Time-Series Power Spectra Using the
GUI
.......................................... 6-4
How to Estim ate Time-Series Power Spectra at the
Command Line
................................. 6-5
Estimating AR and ARM A Mod els
................... 6-7
Definition of AR and ARMA Models
................... 6-7
Estimating Polynomial Time-Series Models in the GUI
... 6-7
Estimating AR and ARMA M odels at the Command
Line
.......................................... 6-10
Estimating State-Space Time-Series Models
.......... 6-12
Definition of State-Space Tim e-Se rie s Model
........... 6-12
Estimating State-Space Models at the Command Line
... 6-12
Example – Identifying Time-Series Models at the
Command Line
.................................. 6-14
Estimating Nonlinear Models for Time-Series Data
... 6-15
Recursive Techniques for Model Identification
7
What Is Recursive Estimation? ...................... 7-2
Commands for Recursive Estimation
................ 7-3
Algorithms for R ecu rsive Estimation
................ 7-6
Types of Recursive Estimation Algorithm s
............. 7-6
General Form of Recursive Estimation Algorithm
....... 7-6
Kalman Filter Algorithm
........................... 7-8
Forgetting Factor Algorithm
........................ 7-10
Unnormalized and Normalized Gradient Algorithms
..... 7-11
Data Segm entation
................................ 7-14
xvi Contents