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Gradient-based Parameter Estimation for a Nonlinear Exponential Autoregressive Time-series Model by Using the Multi-innovation

Jian Pan*, Yuqing Liu, and Jun Shu
International Journal of Control, Automation, and Systems, vol. 21, no. 1, pp.140-150, 2023

Abstract : The parameter estimation methods for the nonlinear exponential autoregressive model are investigated in this paper. We develop a forgetting factor gradient parameter estimation algorithm for improving the estimation accuracy. For the purpose of improving the identification accuracy further, a forgetting factor multi-innovation stochastic gradient algorithm is derived by using the multi-innovation theory. The effectiveness of the proposed algorithms is proved by a simulation example.

Keyword : Exponential autoregressive model, forgetting factor, gradient search, multi-innovation theory, parameter estimation.

 
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