Orthogonal approaches to time-series analysis and system identification

Abstract

Some recent, efficient approaches to nonlinear system identification, ARMA modeling, and time-series analysis are described and illustrated. Sufficient detail and references are furnished to enable ready implementation, and examples are provided to demonstrate superiority over established classical techniques. The ARMA identification algorithm presented does not require a priori knowledge of, or assumptions about, the order of the system to be identified or signal to be modeled. A suboptimal, recursive, pairwise search of the orthogonal candidate data records is conducted, until a given least-squares criterion is satisfied. In the case of nonlinear systems modeling, discrete-time Volterra series is stressed, or rather a more efficient parallel-cascade approach. The model is constructed by adding parallel paths (each consisting of the cascade of dynamic linear and static nonlinear systems). In the case of time-series analysis, a non-Fourier sinusoidal series approach is stressed. The relevant frequencies are estimated by an orthogonal search procedure. A search of the candidate sinusoids is conducted until a given mean-square criterion is satisfied.< <ETX xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">&gt;</ETX>