Robust identification of linear ARX models with recursive EM algorithm based on Student's t-distribution

DOI10.1016/J.JFRANKLIN.2020.06.003MaRDI QIDQ2224797zbMATH OpenOpenAlexFDO

Authors Xin Chen, Shunyi Zhao, Fei Liu

Publication date 4 February 2021

Published in Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jfranklin.2020.06.003

zbMATH Keywords

autoregressive exogenous modelslinear systemsrobust identification

Mathematics Subject Classification ID

System identification (93B30) Linear systems in control theory (93C05)

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Cites work

• A variational Bayesian methodology for hidden Markov models utilizing Student's-\(t\) mixtures
• Almost sure convergence of Titterington's recursive estimator for mixture models
• EM algorithm-based identification of a class of nonlinear Wiener systems with missing output data
• scientific article; zbMATH DE number 3886919 (Why is no real title available?)
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• scientific article; zbMATH DE number 788228 (Why is no real title available?)
• Identification of piecewise affine systems based on statistical clustering technique
• On-line estimation of hidden Markov model parameters based on the Kullback-Leibler information measure
• On-line expectation-maximization algorithm for latent data models
• Online Learning with Hidden Markov Models
• Recursive algorithms for estimation of hidden Markov models and autoregressive models with Markov regime
• Recursive Maximum Likelihood Identification of Jump Markov Nonlinear Systems
• Robust Statistics
• System identification of nonlinear state-space models

Cited in

(8)

• Regularized LTI system identification in the presence of outliers: a variational EM approach
• Identification of errors-in-variables ARX models using modified dynamic iterative PCA
• Further results on a modified EM algorithm for parameter estimation in linear models with time-dependent autoregressive and t-distributed errors
• Further results on ``System identification of nonlinear state-space models
• Identification of the ARX model with random impulse noise based on forgetting factor multi-error information entropy
• Time‐delay and parameter estimation for an ARX model based on copula theory and Armijo criterion and their applications in the modeling of the dynamics of the UAV
• Expectation-maximization algorithm for bilinear state-space models with time-varying delays under non-Gaussian noise
• A novel weight function-based robust iterative learning identification method for discrete Box-Jenkins models with Student's t-distribution noises

Describes a project that uses

Uses Software

• System Identification Toolbox

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