Wavelet based non-parametric NARX models for nonlinear input-output system identification

Wavelet based non-parametric additive NARX models are proposed for nonlinear input-output system identification. By expanding each functional component of the non-parametric NARX model into wavelet multiresolution expansions. the non-parametric estimation problem becomes a linear-in-the-parameters problem, and least-squares-based methods such as the orthogonal forward regression (OFR) approach, Coupled with model size determination criteria. can be used to select the model terms and estimate the parameters. Wavelet based additive models, combined with model order determination and variable selection approaches, are capable of handling problems of high dimensionality.