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Parameter estimation in nonlinear delayed feedback systems from noisy data. (English) Zbl 0996.37077
Summary: We propose a method for the estimation of parameters of nonlinear delayed feedback systems from a time series. Being based on the multiple shooting approach it is fairly robust against high levels of observation noise and yields precise parameter estimates. We evaluate its performance using simulated data of the Mackey-Glass equation and present an application to observed time series of an electronic circuit with time delay.

MSC:
37M10 Time series analysis of dynamical systems
93D10 Popov-type stability of feedback systems
94C99 Circuits, networks
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