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.
TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Reglerteknik (hsv//swe)
ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Control Engineering (hsv//eng)
Automation & Control Systems
Electrical & Electronic
TECHNOLOGY Information technology Automatic control
TEKNIKVETENSKAP Informationsteknik Reglerteknik
TECHNOLOGY Information technology Signal processing