State-dependent vector hybrid linear and nonlinear ARMA modeling: Theory (Q5953488)
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scientific article; zbMATH DE number 1694616
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English | State-dependent vector hybrid linear and nonlinear ARMA modeling: Theory |
scientific article; zbMATH DE number 1694616 |
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State-dependent vector hybrid linear and nonlinear ARMA modeling: Theory (English)
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24 January 2002
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A new model is proposed to represent a general vector nonstationary and nonlinear process by setting up a state-dependent vector hybrid linear and nonlinear autoregressive moving average (SVH-ARMA) model. The linear part of the process is represented by a vector ARMA model, the nonlinear part is represented by a vector nonlinear ARMA model employing a multilayer feedforward neural network, and the nonstationary characteristics are captured with a hidden Markov chain. Based on a unified \(Q\)-likelihood function, an expectation-maximization algorithm for model identification is derived, and the model parameters are estimated by applying a state-dependent training and nonlinear optimization technique iteratively, which finally yields maximum likelihood estimation of model parameters. This model can track the nonstationary variation of a vector linear and/or nonlinear process adaptively and represent a vector linear and/or nonlinear system with low order. Moreover, it is able to characterize and track the long-range, second-order correlation features of many time series and thus can be used for reliable multiple step ahead prediction.
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nonstationary nonlinear process
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autoregressive moving average model
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ARMA model
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feedforward neural network
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hidden Markov chain
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expectation-maximization algorithm
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identification
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maximum likelihood estimation
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second-order correlation
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reliable multiple step ahead prediction
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