Global total least squares modeling of multivariable time series

DOI10.1109/9.362900zbMath0819.93008OpenAlexW2096442085MaRDI QIDQ4763762

Berend Roorda, Christiaan Heij

Publication date: 27 August 1995

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/9.362900

zbMATH Keywords

linear systemsmultivariate time seriesoptimal modelling

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) System identification (93B30) Minimal systems representations (93B20) Realizations from input-output data (93B15)

Related Items (13)

Algorithms for global total least squares modelling of finite multivariable time series ⋮ Jackknife method for the location of gross errors in weighted total least squares ⋮ Maximum likelihood identification of noisy input-output models ⋮ Deterministic Kalman filtering in a behavioral framework ⋮ Identification of factor models by behavioural and subspace methods ⋮ Sterling interpolation method for precision estimation of total least squares ⋮ Structured low-rank approximation and its applications ⋮ Linear dynamic filtering with noisy input and output ⋮ L₂-optimal identification of MIMO errors-in-variables models from the v-gap geometrical interpretation ⋮ High-performance numerical algorithms and software for structured total least squares ⋮ Misfit versus latency ⋮ Optimal angle reduction -- a behavioral approach to linear system approximation ⋮ Optimal errors-in-variables filtering

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