Identification of Nonlinear State-Space Systems With Skewed Measurement Noises

Abstract

In this paper, we consider the identification problem for nonlinear state-space models with skewed measurement noises. The generalized hyperbolic skew Student’s t (GHSkewt) distribution is employed to describe the skewed noises and formulate the hierarchical model of the considered system. A unified framework for estimating unknown states and model parameters is presented based on expectation-maximization (EM) algorithm, in which the forward filtering backward simulation with rejection sampling (RS-FFBSi) is employed to efficiently estimate the smoothing densities of the hidden states, and optimization method is adopted to update model parameters. One numerical study and the electro-mechanical positioning system (EMPS) are employed to verify the effectiveness of the developed approach.