Systems monitoring based on robust estimation of stochastic time series models
Электронный научный архив УРФУ
Информация об архиве | Просмотр оригинала| Поле | Значение | |
| Заглавие |
Systems monitoring based on robust estimation of stochastic time series models
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| Автор |
Tyrsin, A. N.
Golovanov, O. A. |
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| Тематика |
LEAST SQUARES APPROXIMATIONS
MONTE CARLO METHODS PARAMETER ESTIMATION STATISTICAL TESTS STOCHASTIC SYSTEMS TIME SERIES CONDITION DATA HETEROGENEITY ERROR DISTRIBUTIONS LOSS FUNCTIONS ROBUST ESTIMATION ROBUST PROCEDURES STOCHASTIC DATA STOCHASTIC TIME SERIES MODELS SYSTEM MONITORING TIMES SERIES MODELS STOCHASTIC MODELS |
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| Описание |
The problem of system monitoring under conditions of stochastic data heterogeneity based on time series models is considered. The stability of monitoring is proposed to be ensured through the use of convex-concave loss functions. An algorithm for estimating the variance of the main error distribution is proposed. This allows using robust procedures for estimating the parameters of stochastic time series models without a priori information about the variance value of the main error distribution. Using the Monte Carlo statistical test method, the estimates of the proposed robust methods are compared with the known methods of least squares, least modules, and Huber. It is shown that the introduced robust estimates of the parameters of stochastic models of time series win in accuracy and allow increasing the reliability of monitoring the state of systems. © Published under licence by IOP Publishing Ltd.
Russian Foundation for Basic Research, РФФИ, (20-41-660008) The study was carried out with the financial support of the RFBR grant, project No. 20-41-660008. |
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| Дата |
2024-04-22T15:53:01Z
2024-04-22T15:53:01Z 2022 |
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| Тип |
Conference paper
Conference object (info:eu-repo/semantics/conferenceObject) Published version (info:eu-repo/semantics/publishedVersion) |
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| Идентификатор |
Tyrsin, AN & Golovanov, OA 2022, 'Systems monitoring based on robust estimation of stochastic time series models', Journal of Physics: Conference Series, Том. 2388, № 1, стр. 012074. https://doi.org/10.1088/1742-6596/2388/1/012074
Tyrsin, A. N., & Golovanov, O. A. (2022). Systems monitoring based on robust estimation of stochastic time series models. Journal of Physics: Conference Series, 2388(1), 012074. https://doi.org/10.1088/1742-6596/2388/1/012074 1742-6588 Final All Open Access; Gold Open Access https://iopscience.iop.org/article/10.1088/1742-6596/2388/1/012074/pdf https://iopscience.iop.org/article/10.1088/1742-6596/2388/1/012074/pdf http://elar.urfu.ru/handle/10995/132383 10.1088/1742-6596/2388/1/012074 85145169031 |
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| Язык |
en
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| Права |
Open access (info:eu-repo/semantics/openAccess)
cc-by |
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| Формат |
application/pdf
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| Издатель |
Institute of Physics
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| Источник |
Journal of Physics: Conference Series
Journal of Physics: Conference Series |
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