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Driver estimation in non-linear autoregressive models

Abstract: 

In non-linear autoregressive models, the time dependency of coefficients is often driven by a particular time-series which is not given and thus has to be estimated from the data. To allow model evaluation on a validation set, we describe a parametric approach for such driver estimation. After estimating the driver as a weighted sum of potential drivers, we use it in a non-linear autoregressive model with a polynomial parametrization. Using gradient descent, we optimize the linear filter extracting the driver, outperforming a typical grid-search on predefined filters.

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1 user has voted: Tom Dupre la Tour

Paper Details

Authors:
Tom Dupre la Tour, Yves Grenier, Alexandre Gramfort
Submitted On:
13 April 2018 - 5:21am
Short Link:
Type:
Poster
Event:
Presenter's Name:
Alexandre Gramfort
Paper Code:
1777
Document Year:
2018
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Document Files

icassp2018duprelatour.pdf

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[1] Tom Dupre la Tour, Yves Grenier, Alexandre Gramfort, "Driver estimation in non-linear autoregressive models", IEEE SigPort, 2018. [Online]. Available: http://sigport.org/2666. Accessed: Dec. 11, 2018.
@article{2666-18,
url = {http://sigport.org/2666},
author = {Tom Dupre la Tour; Yves Grenier; Alexandre Gramfort },
publisher = {IEEE SigPort},
title = {Driver estimation in non-linear autoregressive models},
year = {2018} }
TY - EJOUR
T1 - Driver estimation in non-linear autoregressive models
AU - Tom Dupre la Tour; Yves Grenier; Alexandre Gramfort
PY - 2018
PB - IEEE SigPort
UR - http://sigport.org/2666
ER -
Tom Dupre la Tour, Yves Grenier, Alexandre Gramfort. (2018). Driver estimation in non-linear autoregressive models. IEEE SigPort. http://sigport.org/2666
Tom Dupre la Tour, Yves Grenier, Alexandre Gramfort, 2018. Driver estimation in non-linear autoregressive models. Available at: http://sigport.org/2666.
Tom Dupre la Tour, Yves Grenier, Alexandre Gramfort. (2018). "Driver estimation in non-linear autoregressive models." Web.
1. Tom Dupre la Tour, Yves Grenier, Alexandre Gramfort. Driver estimation in non-linear autoregressive models [Internet]. IEEE SigPort; 2018. Available from : http://sigport.org/2666