The CAPTAIN Toolbox for System Identification, Time Series Analysis, Forecasting and Control: Guide to TVPMOD: Time Variable Parameter Models

Taylor, C. James and Pedregal, Diego J. and Young, Peter (2017) The CAPTAIN Toolbox for System Identification, Time Series Analysis, Forecasting and Control: Guide to TVPMOD: Time Variable Parameter Models. UNSPECIFIED.

[img]
Preview
PDF (Captain_TVPMOD)
Captain_TVPMOD.pdf

Download (1MB)

Abstract

The CAPTAIN Toolbox is a collection of MATLAB functions for non-stationary time series analysis, forecasting and control. The toolbox is useful for system identification, signal extraction, interpolation, forecasting, data-based mechanistic modelling and control of a wide range of linear and non-linear stochastic systems. The toolbox consists of three modules, organised into three folders as follows: TVPMOD: Time Variable Parameter (TVP) MODels. For the identification of unobserved components models, with a particular focus on state-dependent and time-variable parameter models (includes the popular dynamic harmonic regression model). RIVSID: Refined Instrumental Variable (RIV) System Identification algorithms. For optimal RIV estimation of multiple-input, continuous- and discrete-time Transfer Function models. TDCONT: True Digital CONTrol (TDC). For multivariable, non-minimal state space control, including pole assignment and optimal design, and with backward shift and delta-operator options. The present document is a guide to the TVPMOD module. The Toolbox files and Getting Started Guide are also available for download.

Item Type:
Book/Report/Proceedings
Subjects:
ID Code:
133279
Deposited By:
Deposited On:
21 May 2019 10:20
Refereed?:
No
Published?:
Published
Last Modified:
28 Nov 2020 08:49