SKEW NORMAL STATE SPACE MODELING OF RC ELECTRICAL CIRCUIT AND PARAMETERS ESTIMATION BASED ON PARTICLE MARKOV CHAIN MONTE CARLO

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FARNOOSHY RAHMAN; HAJRAJABI AREZO

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Journal Paper

Paper Information

Journal: JOURNAL OF STATISTICAL RESEARCH OF IRAN (JSRI) Year:2016 | Volume:12 | Issue:2 Page(s): 129-146

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Title

SKEW NORMAL STATE SPACE MODELING OF RC ELECTRICAL CIRCUIT AND PARAMETERS ESTIMATION BASED ON PARTICLE MARKOV CHAIN MONTE CARLO

Author(s)

FARNOOSHY RAHMAN | HAJRAJABI AREZO | Issue Writer Certificate

Keywords

RC ELECTRICAL CIRCUIT

STATE SPACE MODEL

SEQUENTIAL MONTE CARLO FILTERING

PARAMETER ESTIMATION

Abstract

In this paper, a skew normal state space model of RC electrical circuit is presented by considering the stochastic differential equation of the this circuit as the dynamic model with colored and white noise and considering a skew normal distribution instead of normal as the measurement noise distribution. Optimal filtering technique via sequential Monte Carlo perspective is developed for tracking the charge as the hidden state of this model. Furthermore, it is assumed that this model contains unknown parameters (resistance, capacitor, mean, variance and shape parameter of the skew normal as the measurement noise distribution). Bayesian framework is applied for estimation of both the hidden charge and the unknown parameters using particle marginal Metropolis-Hastings scheme. It is shown that the coverage percentage of skew normal is more than the one of normal as the measurement noise. Some simulation studies are carried out to demonstrate the efficiency of the proposed approaches.

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APA: Copy

FARNOOSHY, RAHMAN, & HAJRAJABI, AREZO. (2016). SKEW NORMAL STATE SPACE MODELING OF RC ELECTRICAL CIRCUIT AND PARAMETERS ESTIMATION BASED ON PARTICLE MARKOV CHAIN MONTE CARLO. JOURNAL OF STATISTICAL RESEARCH OF IRAN (JSRI), 12(2), 129-146. SID. https://sid.ir/paper/692421/en

Vancouver: Copy

FARNOOSHY RAHMAN, HAJRAJABI AREZO. SKEW NORMAL STATE SPACE MODELING OF RC ELECTRICAL CIRCUIT AND PARAMETERS ESTIMATION BASED ON PARTICLE MARKOV CHAIN MONTE CARLO. JOURNAL OF STATISTICAL RESEARCH OF IRAN (JSRI)[Internet]. 2016;12(2):129-146. Available from: https://sid.ir/paper/692421/en

IEEE: Copy

RAHMAN FARNOOSHY, and AREZO HAJRAJABI, “SKEW NORMAL STATE SPACE MODELING OF RC ELECTRICAL CIRCUIT AND PARAMETERS ESTIMATION BASED ON PARTICLE MARKOV CHAIN MONTE CARLO,” JOURNAL OF STATISTICAL RESEARCH OF IRAN (JSRI), vol. 12, no. 2, pp. 129–146, 2016, [Online]. Available: https://sid.ir/paper/692421/en

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