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Identification of stable models via nonparametric prediction error methods

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arxiv 1507.00507 v1 pith:YRL2GWX5 submitted 2015-07-02 stat.ML

Identification of stable models via nonparametric prediction error methods

classification stat.ML
keywords identificationsystemtechniquesapproachbayesianerrorlinearprediction
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A new Bayesian approach to linear system identification has been proposed in a series of recent papers. The main idea is to frame linear system identification as predictor estimation in an infinite dimensional space, with the aid of regularization/Bayesian techniques. This approach guarantees the identification of stable predictors based on the prediction error minimization. Unluckily, the stability of the predictors does not guarantee the stability of the impulse response of the system. In this paper we propose and compare various techniques to address this issue. Simulations results comparing these techniques will be provided.

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