IMPROVED PARAMETER ESTIMATION FROM NOISY TIME SERIES FOR NONLINEAR DYNAMICAL SYSTEMS

DOI10.1142/S021812740701804XzbMath1185.37169MaRDI QIDQ3498757

Yoshito Hirata, Michael Small, Devin Kilminster, Kevin Judd, Tomomichi Nakamura

Publication date: 16 May 2008

Published in: International Journal of Bifurcation and Chaos (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Point estimation (62F10) Time series analysis of dynamical systems (37M10)

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Nonlinear dynamical system identification with dynamic noise and observational noise ⋮ Statistical inference for dynamical systems: a review ⋮ Parameter Identification of Chaotic Systems by a Novel Dual Particle Swarm Optimization ⋮ On the Accuracy and Convergence of the Minimax Filtering Algorithm for Chaotic Signals

Uses Software

• Matlab
• ode23
• MATLAB ODE suite

Cites Work

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• A two-dimensional mapping with a strange attractor
• Gradient free descent: Shadowing, and state estimation using limited derivative information
• Noise Reduction of Chaotic Systems by Kalman Filtering and by Shadowing
• Reconstructing Nonlinear Dynamics by Extended Kalman Filtering