Time-varying parametric system multiresolution identification by wavelets

In this paper, the problem of time-varying parametric system identification by wavelets is discussed. Employing wavelet operator matrix representation, we propose a new multiresolution least squares (MLS) algorithm for time-varying AR (ARX) system identification and a multiresolution least mean squares (MLMS) algorithm for the refinement of parameter estimation. These techniques can achieve the optimal tradeoff between the over-fitted solution and the poorly represented identification. The main features of time-varying model parameters are extracted in a multiresolution way, which can be used to represent the smooth trends as well as track the rapidly changing components of time-varying parameters simultaneously and adaptively. Further, a noisy time-varying AR (ARX) model can also be identified by combining the total least squares algorithm with the MLS algorithm. Based on the proposed AR (ARX) model parameter estimation algorithm, a novel identification scheme for time-varying ARMA (ARMAX) system is presented. A higher-order time-varying AR (ARX) model is used to approximate the time-varying ARMA (ARMAX) system and thus obtain an initial parameter estimation. Then an iterative algorithm is applied to obtain the consistent and efficient estimates of the ARMA (ARMAX) system parameters. This ARMA (ARMAX) identification algorithm requires linear operations only and thus greatly saves the computational load. In order to determine the time-varying model order, some modified AIC and MDL criterions are developed based on the proposed wavelet identification schemes. Simulation results verify that our methods can track the rapidly changing of time-varying system parameters and attain the best balance between parsimonious modelling and accurate identification. © 2001, Taylor & Francis Group, LLC. All rights reserved.