Model error modelling using a stochastic embedding approach with gaussian mixture models for FIR systems

In this paper a Maximum Likelihood estimation algorithm for error-model modelling using a stochastic embedding approach is developed. The error-model distribution is approximated by a finite Gaussian mixture. An Expectation-Maximization based algorithm is proposed to estimate the nominal model and the distribution of the parameters of the error-model by using the data from independent experiments. The benefits of our proposal are illustrated via numerical simulations.