A novel procedure is developed for the identi"cation of linear discrete models of dynamical systems from noisy data. Of particular interest is the application of the methodology to time-varying systems. The procedure is based on a representation of the governing di!erential equations with respect to
A new type of time series model for the identification of non-linear dynamical systems
โ Scribed by Q. Chen; G.R. Tomlinson
- Publisher
- Elsevier Science
- Year
- 1994
- Tongue
- English
- Weight
- 1005 KB
- Volume
- 8
- Category
- Article
- ISSN
- 0888-3270
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โฆ Synopsis
This paper proposes a new type of time series model to identify the characteristics of non-linear dynamical structures. The model simultaneously accommodates three kinds of output signals, acceleration, velocity and displacement. This model is more sensitive to non-linearity than models utilising only one output state, and gives accurate time response prediction and frequency response function estimates.
๐ SIMILAR VOLUMES
Tests for SETAR-type non-linearity in time series have recently been proposed by , W. S. Chan and Tong (1986, Luukkonen et a/. (1988 and . In this paper we consider the relative performance of these tests. KEY WORDS Non-linear time series SETAR-type non-linearity CUSUMS Lagrange-multiplier tests Lik