Incorporating noise modeling in dynamic networks using non-parametric models * * This work was supported by the Swedish Research Council under contracts 2015-05285 and 2016-06079.

摘要

For identification of systems in dynamic networks, two-stage and instrumental variable methods are common time-domain methods. These methods provide consistent estimates of a chosen module of the network without estimating other parts of the network or noise models. However, disregarding noise modeling may come at a cost in estimation error. To capture the noise contribution, we propose the following procedure: first, we estimate a non-parametric model of an appropriate part of the network; second, we estimate the module of interest using signals simulated with the non-parametric model. The simulated signals are derived from an asymptotic maximum likelihood criterion. Preliminary simulations suggest that the propose method is competitive with existing approaches and is particularly beneficial with colored noise.