MODEL VALIDITY TESTS FOR NONLINEAR SIGNAL-PROCESSING APPLICATIONS

被引：37

作者：

BILLINGS, SA

TAO, QH

机构：

[1] Department of Control Engineering, University of Sheffield, Sheffield, SI3JD, Mappin Street

来源：

INTERNATIONAL JOURNAL OF CONTROL | 1991年 / 54卷 / 01期

关键词：

D O I：

10.1080/00207179108934155

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Time series model validity tests based on general correlations are presented in this paper. It is shown that the tests PHI-zeta-zeta-(tau), PHI-zeta-zeta-2-(tau) and PHI-zeta-zeta-zeta-(tau-1, tau-2) can only detect a subset of any possible unmodelled terms in the residuals zeta-t, whereas PHI-zeta-2'zeta-2'(tau) detects all possible terms. These basic results are then extended to include functions of process or residual terms as entries in the correlation. Simulation studies are included to demonstrate the effectiveness of the tests when applied to estimated models of both simulated and real data sequences.

引用

页码：157 / 194

页数：38

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