Iterative Probabilistic Approach for Selection of TimeVarying Model Classes
Hoi K.I.; Yuen K.V.; Mok K.M.
2011-10-25
Conference NameThe Twelfth East Asia-Pacific Conference on Structural Engineering and Construction
Source PublicationProcedia Engineering
Volume14
Pages2585-2592
Conference DateJAN 26-28, 2011
Conference PlaceHong Kong
CountryPEOPLES R CHINA
PublisherELSEVIER SCIENCE BV, SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS
Abstract

In this study, an adaptive probabilistic algorithm was developed for the selection of the most plausible Kalman filter based time-varying statistical model by using Bayesian approach. The method was validated by a case study involving the prediction of the sample time series recorded in Macau between 2001 and 2005. Two types of statistical models, namely the time-varying autoregressive model of order p, abbreviated as the TVAR (p) model, and the timevarying autoregressive model with exogenous inputs, abbreviated as the TVAREX model, were adopted to predict the sample time series. By judging upon the model occurring plausibility conditional on the measured data, it was found that using a longer past history did not guarantee better prediction performance. On the contrary, inclusion of explanatory variables which reflect the mechanism of the physical problem can better capture the actual system. 

KeywordBayesian Kalman Filter Model Class Selection Statistical Model
DOIhttps://doi.org/10.1016/j.proeng.2011.07.325
URLView the original
Indexed BySCI
Language英语
WOS Research AreaConstruction & Building Technology ; Engineering
WOS SubjectConstruction & Building Technology ; Engineering, Civil
WOS IDWOS:000300368402090
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Cited Times [WOS]:1   [WOS Record]     [Related Records in WOS]
Document TypeConference paper
CollectionDEPARTMENT OF CIVIL AND ENVIRONMENTAL ENGINEERING
AffiliationDepartment of Civil and Environmental Engineering, University of Macau, China
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Hoi K.I.,Yuen K.V.,Mok K.M.. Iterative Probabilistic Approach for Selection of TimeVarying Model Classes[C]:ELSEVIER SCIENCE BV, SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS,2011:2585-2592.
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