Common factor detection and estimation
The authors consider the greatest common factor detection and estimation (CODE) of two polynomials of degrees \(n\alpha\) and \(n\beta\) respectively, the coefficients of which are assumed to have a normal distribution with a consistently estimable covariance matrix. First, using a large-sample maximum likelihood approach the common factor test criterion is obtained. Then, under setting \(\widehat{nc}=\min(n\alpha, n\beta)\), the minimization of the criterion is carried out with respect to the coefficients of the common factor and the deflated polynomials. Then, a \(\chi^2\)-based detection procedure is performed. If it fails then retry the procedure with setting \(\widehat{nc}= \widehat{nc}-1\) until success. This noniterative CODE-algorithm can also be used for estimating the orders and parameters of the ARMAX models. Numerical examples are included to indicate that the performance of the proposed methodology is rather good.
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- An indirect prediction error method for system identification
- Convergence properties of the generalised least squares identification method
- Maximum likelihood methods for direction-of-arrival estimation
- On covariance function tests used in system identification
- Test of pole-zero cancellation in estimated models
- Tests for determining model order in parameter estimation
- Common value pairs and their estimations
- A geometrical approach to finding multivariate approximate LCMs and GCDs
- Variable projection methods for approximate (greatest) common divisor computations
- A non-linear structure-preserving matrix method for the computation of the coefficients of an approximate greatest common divisor of two Bernstein polynomials
- Identification of ARX and ARARX models in the presence of input and output noises
- Constructing Common Factors from Continuous and Categorical Data
- The calculation of the degree of an approximate greatest common divisor of two polynomials
- Two methods for the calculation of the degree of an approximate greatest common divisor of two inexact polynomials
- Common factor estimation and two applications in signal processing
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