On gaussian process NARX models and their higher-order frequency response functions

Abstract

One of the most versatile and powerful approaches to the identification of nonlinear dynamical systems is the NARMAX (Nonlinear Auto_regressive Moving Average with eXogenous inputs) method. The model represents the current output of a system by a nonlinear regression on past inputs and outputs and can also incorporate a nonlinear noise model in the most general case. Although the NARMAX model is most often given a polynomial form, this is not a restriction of the method and other formulations have been proposed based on nonparametric machine learning paradigms, for example. All of these forms of the NARMAX model allow the computation of Higher-order Frequency Response Functions (HFRFs) which encode the model in the frequency domain and allow a direct interpretation of how frequencies interact in the nonlinear system under study. Recently, a NARX (no noise model) formulation based on Gaussian Process (GP) regression has been developed. One advantage of the GP NARX form is that confidence intervals are a natural part of the prediction process. The objective of the current paper is to discuss the GP formulation and show how to compute the HFRFS corresponding to GP NARX. Examples will be given based on simulated data.