A novel expectation–maximization-based separable algorithm for parameter identification of RBF-AR model

The radial basis function network-based state-dependent autoregressive (RBF-AR) model has been widely used in modeling and prediction of nonlinear time series. The parameter identification of RBF-AR model can be reformulated as a separable nonlinear least squares problem. The variable projection (VP) algorithm has been proven to be valuable in solving such problems. However, for ill-posed problems, the classical VP algorithm usually yields unstable models. In this paper, we consider a novel regularized separable algorithm that takes advantage of the VP method and the expectation–maximization (EM) method. The proposed algorithm utilizes the VP algorithm to optimize the nonlinear parameters and automatically picks out the regularization parameters during the search process. Numerical results on real-world data and synthetic time series confirm the effectiveness of the proposed algorithm.