The invention provides a time-varying parameter model identification method based on beta
wavelet basis function expansion. As shown in the flow in figure 1, the method comprises the following steps: firstly, establishing a nonlinear autoregression time-varying parameter model by using a non-stationary time-varying
signal, and determining the order of the model by using an FPE order determination criterion; performing linear weighted expansion on the model time-varying parameters by utilizing a first-order beta
wavelet basis function, and converting a model time-varying parameter identification problem into a time-invariant parameter
estimation and model effective
item selection problem, namely obtaining a beta
wavelet expansion time-invariant parameter model; selecting effective items of the model by adopting a classical orthogonal forward regression
algorithm, determining the number of the effective items of the model in combination with an APRESS
cross validation standard, eliminating redundant items in the expansion model, estimating corresponding time-invariant parameters of the model, and establishing a
sparse model structure; and finally, in combination with the obtained effective items and corresponding parameters, obtaining a sparse nonlinear autoregression model and time-varying parameters thereof through reverse solution. Compared with an existing time-varying parameter identification method based on main B-spline multi-wavelet
basis function expansion, the
time complexity of the identification process can be effectively reduced, the identification precision of a
sparse model is improved, and a new thought and a new calculation framework are provided for identification analysis of nonlinear time-varying parameter signals.