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- Markusson, Ola, et al.
(författare)
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Higher order cumulant based parameter estimation in nonlinear time series models
- 2001
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Ingår i: PROCEEDINGS OF THE 2001 AMERICAN CONTROL CONFERENCE. - 0780364953 ; , s. 4888-4889
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Konferensbidrag (refereegranskat)abstract
- Parameter estimation in nonlinear time-series models based on higher order cumulant matching is proposed in this paper. The cumulant estimates are computed from measured and simulated data and a cost function computed from second and fourth order cumulants is used. To simplify the calculations a reduced cost function is suggested using low-dimensional slices of the cumulant functions. The estimation method is illustrated on a numerical example.
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