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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/7257
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| Title: | Support vector method for robust ARMA system identification |
| Author(s): | Rojo-Álvarez, José Luis
Martínez-Ramón, Manel
Prado-Cumplido, Mario de
Artés-Rodríguez, Antonio
Figueiras-Vidal, Aníbal R. |
| Publisher: | IEEE |
| Issued date: | Jan-2004 |
| Citation: | IEEE transactions on signal processing, vol. 52, n. 1, p. 155-164. Jan. 2004 |
| URI: | http://hdl.handle.net/10016/7257 |
| ISSN: | 1053-587X |
| DOI: | 10.1109/TSP.2003.820084 |
| Abstract: | This paper presents a new approach to auto-regressive and moving average (ARMA) modeling based on the support vector method (SVM) for identification applications. A statistical analysis of the characteristics of the proposed method is carried out. An analytical relationship between residuals andSVM-ARMA coefficients allows the linking of the fundamentals of SVM with several classical system identification methods. Additionally, the effect of outliers can be cancelled. Application examples show the performance of SVM-ARMA algorithm when it is compared with other system identification methods. |
| Review: | PeerReviewed |
| Publisher version: | http://dx.doi.org/10.1109/TSP.2003.820084 |
| Keywords: | Support vector machines
ARMA modelling
Cross-correlation
System identification
Time series. |
| Rights: | © IEEE |
| Appears in Collections: | DTSC - G2PI - Artículos de Revistas
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