Identification of stable models via nonparametric prediction error methods

A new Bayesian approach to linear system identification has been proposed in a series of recent papers. The main idea is to frame linear system identification as predictor estimation in an infinite dimensional space, with the aid of regularization/Bayesian techniques. This approach guarantees the identification of stable predictors based on the prediction error minimization. Unluckily, the stability of the predictors does not guarantee the stability of the impulse response of the system. In this paper we propose and compare various techniques to address this issue. Simulations results comparing these techniques will be provided.Comment: number of pages = 6, number of figures =

A new kernel-based approach to system identification with quantized output data

In this paper we introduce a novel method for linear system identification with quantized output data. We model the impulse response as a zero-mean Gaussian process whose covariance (kernel) is given by the recently proposed stable spline kernel, which encodes information on regularity and exponential stability. This serves as a starting point to cast our system identification problem into a Bayesian framework. We employ Markov Chain Monte Carlo methods to provide an estimate of the system. In particular, we design two methods based on the so-called Gibbs sampler that allow also to estimate the kernel hyperparameters by marginal likelihood maximization via the expectation-maximization method. Numerical simulations show the effectiveness of the proposed scheme, as compared to the state-of-the-art kernel-based methods when these are employed in system identification with quantized data.Comment: 10 pages, 4 figure

A new kernel-based approach for overparameterized Hammerstein system identification

In this paper we propose a new identification scheme for Hammerstein systems, which are dynamic systems consisting of a static nonlinearity and a linear time-invariant dynamic system in cascade. We assume that the nonlinear function can be described as a linear combination of $p$ basis functions. We reconstruct the $p$ coefficients of the nonlinearity together with the first $n$ samples of the impulse response of the linear system by estimating an $np$-dimensional overparameterized vector, which contains all the combinations of the unknown variables. To avoid high variance in these estimates, we adopt a regularized kernel-based approach and, in particular, we introduce a new kernel tailored for Hammerstein system identification. We show that the resulting scheme provides an estimate of the overparameterized vector that can be uniquely decomposed as the combination of an impulse response and $p$ coefficients of the static nonlinearity. We also show, through several numerical experiments, that the proposed method compares very favorably with two standard methods for Hammerstein system identification.Comment: 17 pages, submitted to IEEE Conference on Decision and Control 201

Kernel-based system identification from noisy and incomplete input-output data

In this contribution, we propose a kernel-based method for the identification of linear systems from noisy and incomplete input-output datasets. We model the impulse response of the system as a Gaussian process whose covariance matrix is given by the recently introduced stable spline kernel. We adopt an empirical Bayes approach to estimate the posterior distribution of the impulse response given the data. The noiseless and missing data samples, together with the kernel hyperparameters, are estimated maximizing the joint marginal likelihood of the input and output measurements. To compute the marginal-likelihood maximizer, we build a solution scheme based on the Expectation-Maximization method. Simulations on a benchmark dataset show the effectiveness of the method.Comment: 16 pages, submitted to IEEE Conference on Decision and Control 201

Bayesian kernel-based system identification with quantized output data

In this paper we introduce a novel method for linear system identification with quantized output data. We model the impulse response as a zero-mean Gaussian process whose covariance (kernel) is given by the recently proposed stable spline kernel, which encodes information on regularity and exponential stability. This serves as a starting point to cast our system identification problem into a Bayesian framework. We employ Markov Chain Monte Carlo (MCMC) methods to provide an estimate of the system. In particular, we show how to design a Gibbs sampler which quickly converges to the target distribution. Numerical simulations show a substantial improvement in the accuracy of the estimates over state-of-the-art kernel-based methods when employed in identification of systems with quantized data.Comment: Submitted to IFAC SysId 201

Outlier robust system identification: a Bayesian kernel-based approach

In this paper, we propose an outlier-robust regularized kernel-based method for linear system identification. The unknown impulse response is modeled as a zero-mean Gaussian process whose covariance (kernel) is given by the recently proposed stable spline kernel, which encodes information on regularity and exponential stability. To build robustness to outliers, we model the measurement noise as realizations of independent Laplacian random variables. The identification problem is cast in a Bayesian framework, and solved by a new Markov Chain Monte Carlo (MCMC) scheme. In particular, exploiting the representation of the Laplacian random variables as scale mixtures of Gaussians, we design a Gibbs sampler which quickly converges to the target distribution. Numerical simulations show a substantial improvement in the accuracy of the estimates over state-of-the-art kernel-based methods.Comment: 5 figure

What are the Effects of Fiscal Policy Shocks?

We propose and apply a new approach for analyzing the effects of fiscal policy using vector autoregressions. Unlike most of the previous literature this approach does not require that the contemporaneous reaction of some variables to fiscal policy shocks be set to zero or need additional information, such as the timing of wars, in order to identify fiscal policy shocks. The paper's method is a purely vector autoregressive approach which can be universally applied. The approach also has the advantages that it is able to model the effects of announcements of future changes in fiscal policy and that it is able to distinguish between the changes in fiscal variables caused by fiscal policy shocks and those caused by business cycle and monetary policy shocks. We apply the method to US quarterly data from 1955-2000 and obtain interesting results. Our key finding is that the best fiscal policy to stimulate the economy is a deficit-financed tax cut and that the long term costs of fiscal expansion through government spending are probably greater than the short term gains.Fiscal Policy, Vector Autoregression, Bayesian Econometrics, Agnostic identification