An On-line Method for Estimation of Piecewise Constant Parameters in Linear Regression Models

Abstract

We present an on-line method for detecting changes and estimating parameters in AR(X) models. The method is based on the assumption of piecewise constant parameters resulting in a sparse structure of their derivative. To illustrate the algorithm and its performance, we apply it to the change in the model parameters of some ARX models. The example illustrates that the new method shows good performance for an AR(X) model with abrupt changes in the parameters.