On the uniqueness of prediction error models for systems with noisy input-output data (Q1821753)
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scientific article; zbMATH DE number 3999812
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| English | On the uniqueness of prediction error models for systems with noisy input-output data |
scientific article; zbMATH DE number 3999812 |
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On the uniqueness of prediction error models for systems with noisy input-output data (English)
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1987
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This paper addresses the uniqueness problem of the prediction error (PE) identification for a class of linear systems with noisy input and output data. Necessary and sufficient conditions are derived for the corresponding PE loss function to have (asymptotically) a unique global minimum. The results indicate that a PE algorithm may give very bad parameter estimates for systems not satisfying these conditions. Such a possibility is illustrated by a numerical example. While the PE method is used as a vehicle for illustration, the derived conditions for global uniqueness (or identifiability) apply to any consistent estimation method based on second-order data.
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system identification
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global identifiability
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noisy systems
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prediction error
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parameter estimates
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