Robust Bootstrap estimation of Subset ARX systems

版本 1.2.0 (5.7 KB) 作者: Carlo Grillenzoni
Performs various robust estimations of subset ARX models, with block-bootstrap computation of their standard errors for identification.
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ARX_roboot.m performs robust estimation with various criterions (e.g. winsorized OLS, least absolute deviations (LAD), least trimmed of squares (LTS), M-estimation with bisquare loss, etc.) of single-input subset ARX models. Inference and identification of the subset structure is performed with block-bootstrap computation of their standard error. ARX_roboot_demo.m illustrates the various methods on simulated series with comments.

引用格式

Carlo Grillenzoni (2024). Robust Bootstrap estimation of Subset ARX systems (https://www.mathworks.com/matlabcentral/fileexchange/102985-robust-bootstrap-estimation-of-subset-arx-systems), MATLAB Central File Exchange. 检索来源 .

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1.2.0

Revision 1
1.0.0