Identification of non-linear time series via kernels

DOI10.1080/00207720210147070zbMath1012.93020OpenAlexW2033861494MaRDI QIDQ4787950

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Publication date: 16 June 2003

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

Full work available at URL: https://doi.org/10.1080/00207720210147070

zbMATH Keywords

linearizationreproducing kernel Hilbert spacespredictionsnonlinear time seriesBayesian estimationfunction approximationGaussian priorsinput-dependent autoregressive model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) System identification (93B30) Nonlinear systems in control theory (93C10) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22)

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