Continuous-Time DC Kernel—A Stable Generalized First-Order Spline Kernel
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Abstract: The stable spline (SS) kernel and the diagonal correlated (DC) kernel are two kernels that have been applied and studied extensively for kernel-based regularized LTI system identification. In this note, we show that similar to the derivation of the SS kernel, the continuous-time DC kernel can be derived by applying the same "stable" coordinate change to a "generalized" first-order spline kernel, and thus can be interpreted as a stable generalized first-order spline kernel. This interpretation provides new facets to understand the properties of the DC kernel. In particular, we derive a new orthonormal basis expansion of the DC kernel, and the explicit expression of the norm of the RKHS associated with the DC kernel. Moreover, for the non-uniformly sampled DC kernel, we derive its maximum entropy property and show that its kernel matrix has tridiagonal inverse.
Cited in
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- The existence and uniqueness of solutions for kernel-based system identification
- Kernel-based identification of asymptotically stable continuous-time linear dynamical systems
- Kernel-based linear system identification: when does the representer theorem hold?
- On kernel design for regularized Volterra series identification of Wiener-Hammerstein systems
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