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A robust orthogonal algorithm for system identification and time-series analysis

✍ Scribed by M. J. Korenberg


Publisher
Springer-Verlag
Year
1989
Tongue
English
Weight
902 KB
Volume
60
Category
Article
ISSN
0340-1200

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✦ Synopsis


We describe and illustrate methods for obtaining a parsimonious sinusoidal series representation or model of biological time-series data. The methods are also used to identify nonlinear systems with unknown structure. A key aspect is a rapid search for significant terms to include in the model for the system or the time-series. For example, the methods use fast and robust orthogonal searches for significant frequencies in the time-series, and differ from conventional Fourier series analysis in several important respects. In particular, the frequencies in our resulting sinusoidal series need not be commensurate, nor integral multiples of the fundamental frequency corresponding to the record length. Freed of these restrictions, the methods produce a more economical sinusoidal series representation (than a Fourier series), finding the most significant frequencies first, and automatically determine model order. The methods are also capable of higher resolution than a conventional Fourier series analysis. In addition, the methods can cope with unequally-spaced or missing data, and are applicable to time-series corrupted by noise. Finally, we compare one of our methods with a wellknown technique for resolving sinusoidal signals in noise using published data for the test time-series.


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