Higher order cumulant based parameter estimation in nonlinear time series models

• 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.

Subject headings

TEKNIK OCH TEKNOLOGIER  -- Elektroteknik och elektronik -- Reglerteknik (hsv//swe)

ENGINEERING AND TECHNOLOGY  -- Electrical Engineering, Electronic Engineering, Information Engineering -- Control Engineering (hsv//eng)

Keyword

Automation & Control Systems

Electrical & Electronic

Robotics

Automatic control

Reglerteknik

Signal processing

Signalbehandling

SRA - ICT

SRA - Informations- och kommunikationsteknik

Publication and Content Type

ref (subject category)

kon (subject category)