Support vector method for robust ARMA system identification

@article{Rojolvarez2004SupportVM,
  title={Support vector method for robust ARMA system identification},
  author={Jos{\'e} Luis Rojo-{\'A}lvarez and Luis Mart{\'i}nez-Ram{\'o}n and Mario de Prado-Cumplido and Antonio Art{\'e}s-Rodr{\'i}guez and An{\'i}bal R. Figueiras-Vidal},
  journal={IEEE Transactions on Signal Processing},
  year={2004},
  volume={52},
  pages={155-164}
}
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… CONTINUE READING
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