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

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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.