Random time-series model identification from binary-valued observations and quantized measurements

In the paper, two algorithms that allow identification of a parametric models of random time-series from binary-valued observations of their realizations, as well as from quantized measurements of their values, are proposed. The proposed algorithms are based on the idea of time-series decomposition either on a direct power spectral density or autocorrelation function approximation. They use the concepts of randomized search algorithms to recover the corresponding parametric models from calculated estimates of power spectral density or autocorrelation function. The considerations presented in the paper are illustrated with simulated identification examples in which linear and nonlinear block-oriented dynamic models of time-series are identified from the binary-valued observations and quantized measurements.