Higher order cumulant based parameter estimation in nonlinear time series models
2001 (English)In: PROCEEDINGS OF THE 2001 AMERICAN CONTROL CONFERENCE, 2001, 4888-4889 p.Conference paper (Refereed)
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.
, PROCEEDINGS OF THE AMERICAN CONTROL CONFERENCE, ISSN 0743-1619
Automation & Control Systems, Electrical & Electronic, Robotics
Research subject SRA - ICT
IdentifiersURN: urn:nbn:se:kth:diva-26594DOI: 10.1109/ACC.2001.945758ISI: 000173663300873ISBN: 0-7803-6495-3OAI: oai:DiVA.org:kth-26594DiVA: diva2:377964
American Control Conference (ACC) ARLINGTON, VA, JUN 25-27, 2001
QC 20101215 NR 201408042010-12-152010-11-252012-01-13Bibliographically approved