Automatic Control and Systems Engineering, University of Sheffield
Abstract
A novel modelling scheme that can be used to estimate and track time-varying properties of nonstationary signals is investigated. This scheme is based on a class of time-varying AutoRegressive with an eXogenous input (ARX) models where the associated time-varying parameters are represented by multi-wavelet basis functions. The orthogonal least square (OLS) algorithm is then applied to refine the model parameter estimates of the time-varying ARX model. The main features of the multi-wavelet approach is that it enables smooth trends to be tracked but also to capture sharp changes in the time-varying process parameters. Simulation studies and applications to real EEG data show that the proposed algorithm can provide important transient information on the inherent dynamics of nonstationary processes
