Support Vector Method for RobustARMA System Identification
Open Access
- 8 January 2004
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Signal Processing
- Vol. 52 (1), 155-164
- https://doi.org/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 and SVM-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.Keywords
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