Identification of Systems Parameters of Autoregressive Equations with Random Coefficients and Known Covariance Matrices

摘要

The estimation problem of parameters of system of autoregressive equations is considered. It is supposed that the coefficients are the random quantities, the sets of input variables in the equations can be various, and the random additive components in output variables can be statistically dependent both in model of functioning and in an observation model. It is supposed that the covariance matrices of random coefficients as well as additive random components in functioning and observation models are known. Iterative procedure of estimating mathematical expectation of random coefficients is investigated by a method of statistical tests.