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Higher order cumulant based parameter estimation in nonlinear time series models
KTH, Superseded Departments, Signals, Sensors and Systems. (Reglerteknik)
KTH, Superseded Departments, Signals, Sensors and Systems. (Reglerteknik)ORCID iD: 0000-0002-9368-3079
2001 (English)In: PROCEEDINGS OF THE 2001 AMERICAN CONTROL CONFERENCE, 2001, 4888-4889 p.Conference paper, Published paper (Refereed)
Abstract [en]

Parameter estimation in nonlinear time-series models based on higher order cumulant matching is proposed in this paper. The cumulant estimates are computed from measured and simulated data and a cost function computed from second and fourth order cumulants is used. To simplify the calculations a reduced cost function is suggested using low-dimensional slices of the cumulant functions. The estimation method is illustrated on a numerical example.

Place, publisher, year, edition, pages
2001. 4888-4889 p.
Series
PROCEEDINGS OF THE AMERICAN CONTROL CONFERENCE, ISSN 0743-1619
Keyword [en]
Automation & Control Systems, Electrical & Electronic, Robotics
National Category
Control Engineering
Research subject
SRA - ICT
Identifiers
URN: urn:nbn:se:kth:diva-26594DOI: 10.1109/ACC.2001.945758ISI: 000173663300873ISBN: 0-7803-6495-3 (print)OAI: oai:DiVA.org:kth-26594DiVA: diva2:377964
Conference
American Control Conference (ACC) ARLINGTON, VA, JUN 25-27, 2001
Note
QC 20101215 NR 20140804Available from: 2010-12-15 Created: 2010-11-25 Last updated: 2012-01-13Bibliographically approved

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Hjalmarsson, Håkan

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  • apa
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  • nn-NO
  • nn-NB
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  • Other locale
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Output format
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  • asciidoc
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