• DocumentCode
    3415554
  • Title

    Higher order cumulant based parameter estimation in nonlinear time series models

  • Author

    Markusson, Ola ; Hjalmarsson, Håkan

  • Author_Institution
    Dept. of Signals, Sensors, & Syst., R. Inst. of Technol., Stockholm, Sweden
  • Volume
    6
  • fYear
    2001
  • fDate
    2001
  • Firstpage
    4888
  • 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
  • Keywords
    nonlinear systems; parameter estimation; time series; cost function; fourth order cumulants; higher order cumulant matching; low-dimensional cumulant functions slices; nonlinear time-series models; parameter estimation; reduced cost function; second order cumulants; Biological system modeling; Computational modeling; Cost function; Environmental factors; Finance; Geophysical measurements; Geophysics; Higher order statistics; Parameter estimation; Sensor systems;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    American Control Conference, 2001. Proceedings of the 2001
  • Conference_Location
    Arlington, VA
  • ISSN
    0743-1619
  • Print_ISBN
    0-7803-6495-3
  • Type

    conf

  • DOI
    10.1109/ACC.2001.945758
  • Filename
    945758
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3415554