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Model structure selection using an integrated forward orthogonal search algorithm interfered with squared correlation and mutual information

Wei, H.L. and Billings, S.A. (2006) Model structure selection using an integrated forward orthogonal search algorithm interfered with squared correlation and mutual information. Research Report. ACSE Research Report no. 918 . Automatic Control and Systems Engineering, University of Sheffield

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Abstract

Model structure selection plays a key role in nonlinear system identification. The first step in nonlinear system identification is to determine which model terms should be included in the model. Once significant model terms have been determined, a model selection criterion can then be applied to select a suitable model subset. The well known orthogonal least squares type algorithms are one of the most efficient and commonly used techniques for model structure selection. However, it has been observed that the orthogonal least squares type algorithms may occasionally select incorrect model terms or yield a redundant model subset in the presence of particular noise structures or input signals. A very efficient integrated forward orthogonal searching (IFOS) algorithm, which is interfered with squared correlation and mutual information, and which incorporates a general cross-validation (GCV) criterion and hypothesis tests, is introduced to overcome these limitations in model structure selection.

Item Type: Monograph (Research Report)
Copyright, Publisher and Additional Information: The Department of Automatic Control and Systems Engineering research reports offer a forum for the research output of the academic staff and research students of the Department at the University of Sheffield. Papers are reviewed for quality and presentation by a departmental editor. However, the contents and opinions expressed remain the responsibility of the authors. Some papers in the series may have been subsequently published elsewhere and you are advised to cite the later published version in these instances.
Keywords: correlation, hypothesis tests, identification, model selection, mutual information, NARX / NARMAX model.
Academic Units: The University of Sheffield > Faculty of Engineering (Sheffield) > Department of Automatic Control and Systems Engineering (Sheffield) > ACSE Research Reports
Depositing User: Miss Anthea Tucker
Date Deposited: 09 Oct 2012 09:44
Last Modified: 08 Feb 2013 17:40
Status: Published
Publisher: Automatic Control and Systems Engineering, University of Sheffield
URI: http://eprints.whiterose.ac.uk/id/eprint/74558

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