Testing linearity for NARX models

DOI10.1016/S0947-3580(98)70123-2MaRDI QIDQ1287103zbMATH OpenFDO

Authors Jean-Michel Poggi, Bruno Portier

Publication date 8 August 1999

Published in European Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0947-3580(98)70123-2

zbMATH Keywords

kernel estimatesleast-squares estimatesNARX modelstest for linearity

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24)

Review text

One considers the discrete-time NARX system \[ X_{n+1}= f(X_n,X_{n-1},\dots,X_{n-p+1}) -k(X_n,\dots,X_{n-p+1}) + \zeta_{n+1}, \] where \(f\) is the unknown function, \(k\) is the known stabilizing function and \(\{\zeta_{n}\}\) is the white noise. The test for linearity of the function \(f\) is proposed based on two estimates of the function \(f\) -- the recursive least squares estimator and the recursive kernel estimator.

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Cited in

(2)

• Improvements in stable inversion of NARX models by using Mann iteration
• Asymptotic local test for linearity in adaptive control

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