Compact and accurate linear and nonlinear autoregressive moving average model parameter estimation using Laguerre functions

被引:10
作者
Chon, KH [1 ]
Cohen, RJ [1 ]
HolsteinRathlou, NH [1 ]
机构
[1] UNIV COPENHAGEN,DEPT MED PHYSIOL,COPENHAGEN,DENMARK
关键词
Volterra-Wiener kernel; NARMA; difference equation; impulse response;
D O I
10.1007/BF02684850
中图分类号
R318 [生物医学工程];
学科分类号
0831 ;
摘要
A linear and nonlinear autoregressive moving average (ARMA) identification algorithm is developed for modeling time series data. The algorithm uses Laguerre expansion of kernals (LEK) to estimate Volterra-Wiener kernals. However, instead of estimating linear and nonlinear system dynamics via moving average models, as is the case for the Volterra-Wiener analysis, we propose an ARMA model-based approach. The proposed algorithm is essentially the same as LEK, but this algorithm is extended to include past values of the ouput as well. Thus, all of the advantages associated with using the Laguerre function remain with our algorithm; but, by extending the algorithm to the linear and nonlinear ARMA model, a significant reduction in the number of Laguerre functions can be made, compared with the Volterra-Wiener approach. This translates, into a more compact system representation and makes the physiological interpretation of higher order kernels easier. Furthermore, simulation results show better performance of the proposed approach in estimating the system dynamics than LEK in certain cases, and it remains effective in the presence of significant additive measurement noise.
引用
收藏
页码:731 / 738
页数:8
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