Determination of the order of stochastically linear dynamic systems by using non-parametric estimation of a regression function

摘要

In order to determine the accurate order of the model of discrete linear dynamic system, nonparametric algorithm is investigated. The algorithm is based on the application of the rule of selection of significant variables depending on a bandwidth. Selected variables are included in the Nadaraya-Watson regression estimation. The investigated dynamic system was simulated under diverse working conditions. The accuracy of the models estimated with the non-parametric methods is investigated. Computational experiments showed that using the non-parametric algorithms, the model orders can be determined. Because of the large number of cases investigated, the probability of the general validity of this nonparametric algorithm is high.