Prediction error estimator for non-linear stochastic systems

DOI10.1080/00207728808967623zbMath0646.93063OpenAlexW1976395790MaRDI QIDQ3791061

I. J. Leontaritis, Stephen A. Billings

Publication date: 1988

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207728808967623

zbMATH Keywords

parameter estimationprediction error methodstructural indicesstructure selectioncross-validation methodsNARMAX (Nonlinear AutoRegressive Moving Average with eXogenous inputs) models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Related Items

Identification of systems containing linear dynamic and static nonlinear elements ⋮ Detection of chaotic determinism in time series from randomly forced maps

Cites Work

• Unnamed Item
• Dynamic system identification. Experiment design and data analysis
• Factorization methods for discrete sequential estimation
• Input-output parametric models for non-linear systems Part I: deterministic non-linear systems

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