Analytic performance evaluation of cumulant-based arma system identification methods

The authors perform an analytic study of some cumulant-based methods for estimating the AR parameters of ARMA processes. The analysis includes new AR identifiability results for pure AR process and the analytic performance evaluation of system identification methods based on cumulants. The authors present examples of pure AR processes that are not identifiable via the normal equations based on the diagonal third-order cumulant slice. The results of the performance evaluation are illustrated graphically with plots of the variance of the estimates as a function of the parameters of the process.Peer ReviewedPostprint (published version

Prognostics with autoregressive moving average for railway turnouts

Turnout systems are one of the most critical systems on railway infrastructure. Diagnostics and prognostics on turnout system have ability to increase the reliability & availability and reduce the downtime of the railway infrastructure. Even though diagnostics on railway turnout systems have been reported in the literature, reported studies on prognostics in railway turnout system is very sparse. This paper presents autoregressive moving average model based prognostics on railway turnouts. The model is applied to data collected from real turnout systems. The failure progression is obtained manually using the exponential degradation model. Remaining Useful Life of ten turnout systems have been reported and results are very promising

Estimation of AR and ARMA models by stochastic complexity

In this paper the stochastic complexity criterion is applied to estimation of the order in AR and ARMA models. The power of the criterion for short strings is illustrated by simulations. It requires an integral of the square root of Fisher information, which is done by Monte Carlo technique. The stochastic complexity, which is the negative logarithm of the Normalized Maximum Likelihood universal density function, is given. Also, exact asymptotic formulas for the Fisher information matrix are derived.Comment: Published at http://dx.doi.org/10.1214/074921706000000941 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org

Thermal diagnostic of the Optical Window on board LISA Pathfinder

Vacuum conditions inside the LTP Gravitational Reference Sensor must comply with rather demanding requirements. The Optical Window (OW) is an interface which seals the vacuum enclosure and, at the same time, lets the laser beam go through for interferometric Metrology with the test masses. The OW is a plane-parallel plate clamped in a Titanium flange, and is considerably sensitive to thermal and stress fluctuations. It is critical for the required precision measurements, hence its temperature will be carefully monitored in flight. This paper reports on the results of a series of OW characterisation laboratory runs, intended to study its response to selected thermal signals, as well as their fit to numerical models, and the meaning of the latter. We find that a single pole ARMA transfer function provides a consistent approximation to the OW response to thermal excitations, and derive a relationship with the physical processes taking place in the OW. We also show how system noise reduction can be accomplished by means of that transfer function.Comment: 20 pages, 14 figures; accepted for publication in Class. Quantum Gra

Forecasting VARMA processes using VAR models and subspace-based state space models

VAR modelling is a frequent technique in econometrics for linear processes. VAR modelling offers some desirable features such as relatively simple procedures for model specification (order selection) and the possibility of obtaining quick non-iterative maximum likelihood estimates of the system parameters. However, if the process under study follows a finite-order VARMA structure, it cannot be equivalently represented by any finite-order VAR model. On the other hand, a finite-order state space model can represent a finite-order VARMA process exactly, and, for state-space modelling, subspace algorithms allow for quick and non-iterative estimates of the system parameters, as well as for simple specification procedures. Given the previous facts, we check in this paper whether subspace-based state space models provide better forecasts than VAR models when working with VARMA data generating processes. In a simulation study we generate samples from different VARMA data generating processes, obtain VAR-based and state-space-based models for each generating process and compare the predictive power of the obtained models. Different specification and estimation algorithms are considered; in particular, within the subspace family, the CCA (Canonical Correlation Analysis) algorithm is the selected option to obtain state-space models. Our results indicate that when the MA parameter of an ARMA process is close to 1, the CCA state space models are likely to provide better forecasts than the AR models. We also conduct a practical comparison (for two cointegrated economic time series) of the predictive power of Johansen restricted-VAR (VEC) models with the predictive power of state space models obtained by the CCA subspace algorithm, including a density forecasting analysis.subspace algorithms; VAR; forecasting; cointegration; Johansen; CCA

A sub-Nyquist co-prime sampling music spectral approach for natural frequency identification of white-noise excited structures

Motivated by practical needs to reduce data transmission payloads in wireless sensors for vibration-based monitoring of civil engineering structures, this paper proposes a novel approach for identifying resonant frequencies of white-noise excited structures using acceleration measurements acquired at rates significantly below the Nyquist rate. The approach adopts the deterministic co-prime sub-Nyquist sampling scheme, originally developed to facilitate telecommunication applications, to estimate the autocorrelation function of response acceleration time-histories of low-amplitude white-noise excited structures treated as realizations of a stationary stochastic process. This is achieved without posing any sparsity conditions to the signals. Next, the standard MUSIC algorithm is applied to the estimated autocorrelation function to derive a denoised super-resolution pseudo-spectrum in which natural frequencies are marked by prominent spikes. The accuracy and applicability of the proposed approach is numerically assessed using computer-generated noise-corrupted acceleration time-history data obtained by a simulation-based framework pertaining to a white-noise excited structural system with two closely-spaced modes of vibration carrying the same amount of energy, and a third isolated weakly excited vibrating mode. All three natural frequencies are accurately identified by sampling at as low as 78% below Nyquist rate for signal to noise ratio as low as 0dB (i.e., energy of additive white noise equal to the signal energy), suggesting that the proposed approach is robust and noise-immune while it can reduce data transmission requirements in acceleration wireless sensors for natural frequency identification of engineering structures