Parameter estimation in nonlinear systems with auto and crosscorrelated noise

DOI10.1016/S0005-1098(01)00183-2MaRDI QIDQ5953542zbMATH OpenOpenAlexFDO

Authors B. David, Georges Bastin

Publication date 24 January 2002

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0005-1098(01)00183-2

zbMATH Keywords

covariance matrixcrosscorrelated noiseestimatorGohberg-Heinig formulaidentificationinversion of a block-Toeplitz matrixmaximum likelihood parameter estimationmultivariable autoregressive processnonlinear systems

Mathematics Subject Classification ID

System identification (93B30) Nonlinear systems in control theory (93C10) Identification in stochastic control theory (93E12)

Review text

The Gohberg-Heinig explicit formula for the inversion of a block-Toeplitz matrix is used to build an estimator of the inverse of the covariance matrix of a multivariable autoregressive process. This estimator is applied to maximum likelihood parameter estimation in nonlinear dynamical systems with output measurements corrupted by additive auto and crosscorrelated noise. The efficiency of the obtained estimation scheme is illustrated via Monte Carlo simulations and compared with an alternative obtained by extending a classical technique of linear system identification to the framework of this paper. The consequence is an improvement of the estimator in comparison with classical methods. An accurate confidence region around the estimated parameters is also obtained.

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Cited in

(4)

• An estimator of the inverse covariance matrix and its application to ML parameter estimation in dynamical systems
• Estimation of the main parameter values of a nonlinear dynamical system with noise in an experiment
• scientific article; zbMATH DE number 1203283 (Why is no real title available?)
• Maximum likelihood based identification methods for rational models

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