This paper outlines a new approach to the statistical identification and estimation of dynamic models for a widely applicable class of linear and nonlinear systems based on a combination of nonparametric and parametric estimation procedures. The new approach is applied to three systems: a chaotic version of the discrete-time logistic growth equation; a continuous-time, second-order nonlinear system with two feedback nonlinearities; and a predominantly linear but high-order, vibrating cantilever beam.
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Hastie, T.J. and Tibshirani, R.J. , 1990, Generalized Additive Models , Chapman & Hall, London.
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Jakeman, A.J. and Young, P.C., 1979, "Refined instrumental variable methods of recursive time-series analysis: Part II. Multivariable systems," Int. J. Control29, 621-644.
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Jakeman, A.J. and Young, P.C., 1981, "Recursive filtering and smoothing procedures for the inversion of ill-posed causal problems," Utilitas Mathematica25, 351-376. (Appeared originally as Report No. AS/R28/1979, Centre for Resource and Environmental Studies, Australian National University , 1979)
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Schweppe, F., 1965, "Evaluation of likelihood functions for Gaussian signals ," IEEE Trans. Infor. Theory11, 61-70.
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Young, P.C., 1969, "The use of a priori parameter variation information to enhance the performance of a recursive least squares estimator," Tech. Note 404-90, Naval Weapons Center, China Lake, CA.
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Young, P.C., 1978, "A general theory of modelling for badly defined dynamic systems," in Modeling, Identification and Control in Environmental Systems , G. C. Vansteenkiste, ed., pp. 103-135, North Holland, Amsterdam.
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Young, P.C., 1981, "A second generation adaptive autostabilization system for airborne vehicles," Automatica17, 459-470.
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Young, P.C., 1984, Recursive Estimation and Time-Series Analysis, Springer-Verlag, Berlin.
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Young, P.C., 1988, "Recursive extrapolation, interpolation and smoothing of non-stationary time-series," in Identification and System Parameter Estimation , H. F. Chen, ed., 33-44, Pergamon , Oxford.
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Young, P.C., 1993, "Time variable and state dependent parameter modelling of nonstationary and nonlinear time series," in Developments in Time Series: Volume in Honour of Maurice Priestley, T. Subba Rao, ed., pp. 374-413, Chapman & Hall, London.
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Young, P.C., 1994, "Time variable parameter and trend estimation in nonstationary economic time series," J. Forecasting13, 179-210.
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Young, P.C., 1996, "Identification, estimation and control of continuous-time and delta operator systems," in Proceedings Conf. Identification in Engineering Systems, M. I. Friswell and J. E. Mottershead, eds., pp. 1-17, University of Wales, Swansea.
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Young, P.C. and Beven, K.J., 1994, "Data-based mechanistic (DBM) modelling and the rainfall-flow nonlinearity," Environmetrics5, 335-363.
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Young, P.C., Behzadi, M.A., Wang, C.L., and Chotai, A., 1987, "Direct digital and adaptive control by input-output, state variable feedback," Int. J. Control86, 1861-1881.
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Young, P.C., Foster, M., and Lees, M.J., 1993, "A direct approach to the identification and estimation of continuous-time systems from discrete-time data based on fixed interval smoothing," in Proceedings of the 12th IFAC World Congress, Goodwin, ed., Vol. 10, pp. 27-30, Pergamon, Oxford .
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Young, P.C. and Jakeman, A.J., 1979, "Refined instrumental variable methods of recursive time-series analysis: Part I. Single input-single output systems," Int. J. Control29, 1-30.
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Young, P.C. and Jakeman, A.J., 1980, "Refined instrumental variable methods of recursive time-series analysis: Part III. Extensions," Int. J. Control31, 741-764.
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Young, P.C., Lees, M.J., Chotai, A., Tych, W., and Chalabi, Z., 1994, "Modelling and PIP control of a glasshouse microclimate ," Control Eng. Pract.2, 591-604.
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Young, P.C. and Pedregal, D., 1997, "Data-based mechanistic modelling," in System Dynamics in Economic and Financial Models, C. Heij and H. Schumacher, eds. Wiley, Chichester, forthcoming.