Abstract :
A Wiener system, i.e., a system comprising a linear dynamic and a nonlinear memoryless subsystems connected in a cascade, is identified. Both the input signal and disturbance are random, white, and Gaussian. The unknown nonlinear characteristic is strictly monotonous and differentiable and, therefore, the problem of its recovering from input-output observations of the whole system is nonparametric. It is shown that the inverse of the characteristic is a regression function and a class of orthogonal series nonparametric estimates recovering the regression is proposed and analyzed. The estimates apply the trigonometric, Legendre, and Hermite orthogonal functions. Pointwise consistency of all the algorithms is shown. Under some additional smoothness restrictions, the rates of their convergence are examined and compared. An algorithm to identify the impulse response of the linear subsystem is proposed
Keywords :
estimation theory; identification; linear systems; nonlinear systems; nonparametric statistics; series (mathematics); stochastic processes; transient response; Hermite orthogonal functions; Legendre function; Wiener systems; convergence; disturbance; impulse response; input signal; input-output observations; linear dynamic systems; nonlinear memoryless subsystems; nonparametric identification; orthogonal series; regression function; trigonometric function; Bars; Convergence; Helium; Kernel; Nonlinear dynamical systems; Polynomials; Statistical analysis;
