Data filtering based maximum likelihood gradient estimation algorithms for a multivariate equation-error system with ARMA noise

DOI10.1016/J.JFRANKLIN.2020.03.047MaRDI QIDQ776148zbMATH OpenOpenAlexFDO

Authors Lijuan Liu, Haibo Liu, Feng Ding, Ahmed Alsaedi, Tasawar Hayat

Publication date 30 June 2020

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

Full work available at URL https://doi.org/10.1016/j.jfranklin.2020.03.047

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Multivariable systems, multidimensional control systems (93C35) Identification in stochastic control theory (93E12)

Recommendations

• Data filtering based maximum likelihood extended gradient method for multivariable systems with autoregressive moving average noise
• Maximum likelihood-based recursive least-squares estimation for multivariable systems using the data filtering technique
• Maximum likelihood gradient identification for multivariate equation‐error moving average systems using the multi‐innovation theory
• Partially coupled gradient estimation algorithm for multivariable equation-error autoregressive moving average systems using the data filtering technique
• Maximum likelihood recursive least squares estimation for multivariate equation-error ARMA systems

Cites work

• A direct maximum likelihood optimization approach to identification of LPV time-delay systems
• A potential-free field inverse Schrödinger problem: optimal error bound analysis and regularization method
• An extension of Paulsen-Gjessing's risk model with stochastic return on investments
• Bifurcations, ultimate boundedness and singular orbits in a unified hyperchaotic Lorenz-type system
• Constrained Subspace Method for the Identification of Structured State-Space Models (COSMOS)
• Constructing numerically stable Kalman filter-based algorithms for gradient-based adaptive filtering
• Decomposition based least squares iterative identification algorithm for multivariate pseudo-linear ARMA systems using the data filtering
• Errors-in-variables identification using maximum likelihood estimation in the frequency domain
• Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory
• Exit problems for jump processes with applications to dividend problems
• Filtering-based multistage recursive identification algorithm for an input nonlinear output-error autoregressive system by using the key term separation technique
• Gradient estimation algorithms for the parameter identification of bilinear systems using the auxiliary model
• Hierarchical parameter and state estimation for bilinear systems
• Joint optimization of cooperative spectrum sensing and resource allocation in multi-channel cognitive radio sensor networks
• LMMSE Filtering in Feedback Systems With White Random Modes: Application to Tracking in Clutter
• Maximum likelihood identification of stable linear dynamical systems
• Maximum-Likelihood Detection for MIMO Systems Based on Differential Metrics
• New gradient based identification methods for multivariate pseudo-linear systems using the multi-innovation and the data filtering
• ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS
• On the equivalence of multivariate polynomial matrices
• Optimal dividend problem with a terminal value for spectrally positive Lévy processes
• Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
• Optimality of the threshold dividend strategy for the compound Poisson model
• Particle filtering based parameter estimation for systems with output-error type model structures
• Recursive parameter estimation algorithm for multivariate output-error systems
• State estimation for bilinear systems through minimizing the covariance matrix of the state estimation errors
• The filtering‐based maximum likelihood iterative estimation algorithms for a special class of nonlinear systems with autoregressive moving average noise using the hierarchical identification principle
• The innovation algorithms for multivariable state-space models
• The perturbed compound Poisson risk process with investment and debit interest
• Weighted parameter estimation for Hammerstein nonlinear ARX systems

Cited in

(24)

• Filtered generalized iterative parameter identification for equation-error autoregressive models based on the filtering identification idea
• The filtering based auxiliary model generalized extended stochastic gradient identification for a multivariate output-error system with autoregressive moving average noise using the multi-innovation theory
• Partially coupled gradient estimation algorithm for multivariable equation-error autoregressive moving average systems using the data filtering technique
• Filtering‐based multi‐innovation recursive identification methods for input nonlinear systems with piecewise‐linear nonlinearity based on the optimization criterion
• Filtered multi-innovation-based iterative identification methods for multivariate equation-error ARMA systems
• A novel dynamic nonlinear partial least squares based on the cascade structure
• Iterative parameter identification algorithms for the generalized time‐varying system with a measurable disturbance vector
• Decomposition-based maximum likelihood gradient iterative algorithm for multivariate systems with colored noise
• Hierarchical maximum likelihood generalized extended stochastic gradient algorithms for bilinear‐in‐parameter systems
• Filtering-based recursive least squares estimation approaches for multivariate equation-error systems by using the multiinnovation theory
• Data filtering based maximum likelihood extended gradient method for multivariable systems with autoregressive moving average noise
• Model recovery for multi-input signal-output nonlinear systems based on the compressed sensing recovery theory
• Recursive least-squares algorithm for a characteristic model with coloured noise by means of the data filtering technique
• Three‐stage forgetting factor stochastic gradient parameter estimation methods for a class of nonlinear systems
• Variational Bayesian identification for bilinear state space models with Markov‐switching time delays
• Maximum likelihood based recursive parameter estimation for controlled autoregressive ARMA systems using the data filtering technique
• Maximum likelihood recursive least squares estimation for multivariate equation-error ARMA systems
• Maximum likelihood extended gradient‐based estimation algorithms for the input nonlinear controlled autoregressive moving average system with variable‐gain nonlinearity
• Gradient-based parameter estimation for input nonlinear systems with ARMA noises based on the auxiliary model
• Data filtering-based multi-innovation forgetting gradient algorithms for input nonlinear FIR-MA systems with piecewise-linear characteristics
• Data filtering based stochastic gradient algorithms for multivariable CARAR-like systems
• Auxiliary model maximum likelihood gradient-based iterative identification for feedback nonlinear systems
• Sliding window iterative identification for nonlinear closed-loop systems based on the maximum likelihood principle
• Maximum likelihood-based recursive least-squares estimation for multivariable systems using the data filtering technique

This page was built for publication: Data filtering based maximum likelihood gradient estimation algorithms for a multivariate equation-error system with ARMA noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q776148)