Prediction error estimator for non-linear stochastic systems

DOI10.1080/00207728808967623MaRDI QIDQ3791061zbMATH OpenOpenAlexFDO

Authors I. J. Leontaritis, Stephen A. Billings

Publication date 1988

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207728808967623

zbMATH Keywords

cross-validation methodsNARMAX (Nonlinear AutoRegressive Moving Average with eXogenous inputs) modelsparameter estimationprediction error methodstructural indicesstructure selection

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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Cites work

• Dynamic system identification. Experiment design and data analysis
• Factorization methods for discrete sequential estimation
• scientific article; zbMATH DE number 3874435 (Why is no real title available?)
• Input-output parametric models for non-linear systems Part I: deterministic non-linear systems

Cited in

(17)

• Identification of systems containing linear dynamic and static nonlinear elements
• On the uniqueness of prediction error models for systems with noisy input-output data
• Identification of stochastic nonlinear models using optimal estimating functions
• Linear prediction error methods for stochastic nonlinear models
• Detection of chaotic determinism in time series from randomly forced maps
• Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System
• A prediction-error and stepwise-regression estimation algorithm for non-linear systems
• Prediction-error estimation algorithm for non-linear output-affine systems
• Recursive prediction error parameter estimator for non-linear models
• Identification of non-linear rational systems using a prediction-error estimation algorithm
• Identification of nonlinear systems using NARMAX model
• scientific article; zbMATH DE number 409554 (Why is no real title available?)
• An identification algorithm for polynomial NARX models based on simulation error minimization
• Structure detection and parameter estimation for NARX models in a unified EM framework
• Identification of unstable systems using output error and Box-Jenkins model structures
• scientific article; zbMATH DE number 802769 (Why is no real title available?)
• An indirect prediction error method for system identification

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