The archive contains 2 Matlab functions for the estimation and identification of single-output ARX systems (namenly, Auto-Regressive with eXogenous variables), with many inputs and many sparse lagged terms. The subset identification/estimation strategy consist o selecting significant exogenous lagged terms Xj(t-i) by estimating m-bivariate ARX(p,q) models, putting them in the multiple model and estimating it with backward regression. Estimation methods are ordinary least squares (OLS) with heteoskedastic consistent (HC) estimates of standard errors, and robust M-type estimators with bisquare loss functions. Two demo scripts illustrate the functions.
인용 양식
Carlo Grillenzoni (2024). Robust Identification of Large Subset ARX Systems (https://www.mathworks.com/matlabcentral/fileexchange/100104-robust-identification-of-large-subset-arx-systems), MATLAB Central File Exchange. 검색됨 .
MATLAB 릴리스 호환 정보
개발 환경:
R2015a
모든 릴리스와 호환
플랫폼 호환성
Windows macOS Linux태그
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!