Volterra-Wiener Characterization

Volterra-Wiener characterization of non-linear dynamic systems

Volterra-Wiener characterization of non-linear dynamic systems subjected to Gaussian white noise input signal.

function [h0,h1,h2]=Volterra_Wiener_Id(x,y,MaxLag1,MaxLag2)

Input
x: input signal of size (N*1)
y: output signal of size (N*1)
MaxLag1: Max number of lags for the first kernel
MaxLag2: Max number of lags for the second kernel

output
h0: zero order kernel
h1: first oder kernel of size(MaxLag1+1,1)
h2: second order kernel of size(MaxLag2+1,MaxLag2+1)
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Identified model can be verified by forecasting ouput from the input with the identified kernels using the following function:

function y=Volterra_Wiener_Forecast(x,h0,h1,h2)

Input
x: input signal of size (N*1)
h0: zero order kernel
h1: first oder kernel of size(MaxLag1+1,1)
h2: second order kernel of size(MaxLag2+1,MaxLag2+1)

output
y: output signal of size (N*1)