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Adding forgetting factor to autoregression

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Morten
Morten il 17 Nov 2011
Hi
Im using AR() for prediction. Is there a way to add forgetting factor? I.e. the determination of the unknown model parameters should rely on the past samples with a decreasing factor, so that older samples are "forgotten".
Morten
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Morten
Morten il 21 Nov 2011
I have now found the rarx(), which can estimate the parameters of the AR with forgetting factor:
[thm] = rarx(y,order,'ff',0.98);
thm is a vector with the estimates, but how do I then convert that to a discrete-time IDPOLY model, because that is what the predict() function want as input? Can I use the AR() function?

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