Recursive prediction error parameter estimator for non-linear models

DOI10.1080/00207178908961265MaRDI QIDQ3823496zbMATH OpenOpenAlexFDO

Authors Sheng Chen, Stephen A. Billings

Publication date 1989

Full work available at URL https://doi.org/10.1080/00207178908961265

zbMATH Keywords

convergence analysisdifferential equation approachm-invertibilityNARMAXrecursive prediction error parameter estimation algorithm

Mathematics Subject Classification ID

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

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(19)

• A prediction-error-method for recursive identification of nonlinear systems
• An innovation representation for nonlinear systems with application to parameter and state estimation
• On-line structure detection and parameter estimation with exponential windowing for nonlinear systems
• On the development and application of a continuous-discrete recursive prediction error algorithm
• Linear prediction error methods for stochastic nonlinear models
• A recursive algorithm for nonlinear model identification
• Recursive prediction error identification and scaling of non-linear state space models using a restricted Black box parameterization
• Recursive parameter method for computing the predicting function of the multivariable ARMAX model
• Recursive regression estimators with application to nonparametric prediction
• Inversion of non-linear stochastic models for the purpose of parameter estimation
• Prediction-error estimation algorithm for non-linear output-affine systems
• scientific article; zbMATH DE number 4101031 (Why is no real title available?)
• Identification of non-linear rational systems using a prediction-error estimation algorithm
• scientific article; zbMATH DE number 1322682 (Why is no real title available?)
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• Recursive identification of a nonlinear state space model
• Extension of the class of nonlinear transformations in recurrent parametric prediction algorithms
• Simple recursive algorithm for linear-in-the-parameters nonlinear model identification
• Towards more precise recursive prediction error algorithms

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