NDLI: Recursive search-based identification algorithms for the exponential autoregressive time series model with coloured noise

Content Provider	IET Digital Library
Author	Xu, Huan Ding, Feng Yang, Erfu
Abstract	This study focuses on the recursive parameter estimation problems for the non-linear exponential autoregressive model with moving average noise (the ExpARMA model for short). By means of the gradient search, an extended stochastic gradient (ESG) algorithm is derived. Considering the difficulty of determining the step-size in the ESG algorithm, a numerical approach is proposed to obtain the optimal step-size. In order to improve the parameter estimation accuracy, the authors employ the multi-innovation identification theory to develop a multi-innovation ESG (MI-ESG) algorithm for the ExpARMA model. Introducing a forgetting factor into the MI-ESG algorithm, the parameter estimation accuracy can be further improved. With an appropriate innovation length and forgetting factor, the variant of the MI-ESG algorithm is effective to identify all the unknown parameters of the ExpARMA model. A simulation example is provided to test the proposed algorithms.
Starting Page	262
Ending Page	270
Page Count	9
ISSN	17518644
Volume Number	14
e-ISSN	17518652
Issue Number	Issue 2, Jan (2020)
Alternate Webpage(s)	https://digital-library.theiet.org/content/journals/iet-cta/14/2
Alternate Webpage(s)	https://digital-library.theiet.org/content/journals/10.1049/iet-cta.2019.0429
Journal	IET Control Theory & Applications
Publisher Date	2019-10-09
Access Restriction	Open
Rights Holder	© The Institution of Engineering and Technology
Subject Keyword	Appropriate Innovation Length Autoregressive Moving Average Processes Average Noise Coloured Noise ExpARMA Model Exponential Autoregressive Time Series Model Extended Stochastic Gradient Algorithm Forgetting Factor Gradient Method Gradient Search Interpolation And Function Approximation Least Squares Approximation MI-ESG Algorithm Modelling And Identification Multiinnovation ESG Algorithm Multiinnovation Identification Theory Nonlinear Exponential Autoregressive Model Numerical Analysis Numerical Approximation And Analysis Optimal Step-size Parameter Estimation Parameter Estimation Accuracy Probability Theory Recursive Estimation Recursive Parameter Estimation Problem Recursive Search-based Identification Algorithm Simulation Statistics Stochastic Linearised SCUC Time Series Unknown Parameter
Content Type	Text
Resource Type	Article
Subject	Control and Optimization Control and Systems Engineering Human-Computer Interaction Electrical and Electronic Engineering Computer Science Applications

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

Data filtering-based recursive identification for an exponential autoregressive moving average model by using the multi-innovation theory

Recursive coupled projection algorithms for multivariable output-error-like systems with coloured noises

Two-stage parameter estimation algorithms for Box–Jenkins systems

Multi-innovation stochastic gradient method for harmonic modelling of power signals

Hierarchical multi-innovation generalised extended stochastic gradient methods for multivariable equation-error autoregressive moving average systems

Partially coupled gradient estimation algorithm for multivariable equation-error autoregressive moving average systems using the data filtering technique

Identification method of neuro-fuzzy-based Hammerstein model with coloured noise

Maximum likelihood gradient-based iterative estimation for multivariable systems

Performance analysis of the generalised projection identification for time-varying systems

Recursive search-based identification algorithms for the exponential autoregressive time series model with coloured noise

Similar Documents

Data filtering-based recursive identification for an exponential autoregressive moving average model by using the multi-innovation theory

Recursive coupled projection algorithms for multivariable output-error-like systems with coloured noises

Two-stage parameter estimation algorithms for Box–Jenkins systems

Multi-innovation stochastic gradient method for harmonic modelling of power signals

Hierarchical multi-innovation generalised extended stochastic gradient methods for multivariable equation-error autoregressive moving average systems

Partially coupled gradient estimation algorithm for multivariable equation-error autoregressive moving average systems using the data filtering technique

Identification method of neuro-fuzzy-based Hammerstein model with coloured noise

Maximum likelihood gradient-based iterative estimation for multivariable systems

Performance analysis of the generalised projection identification for time-varying systems

Recursive search-based identification algorithms for the exponential autoregressive time series model with coloured noise