Wavelet-Based Adaptive Robust M-Estimator for Nonlinear System Identification

摘要

A wavelet-based robust M-estimation method for the identification of nonlinear systems is proposed.Because it is not based on the assumption that there is the class of error distribution,it takes a flexible,nonparametric approcach and has the advantage of directly estimating the error distribution from the data.This M-estimator is optimal over any error distribution in the sense of maximum likelihood estimation.A Monte-Carlo study on a nonlinear chemical engineering example was used to compare the results with uarious previously utilized methods.