Linear system identification from nonstationary cross-sectional data

DOI10.1109/TAC.1979.1102037MaRDI QIDQ4196329zbMATH OpenOpenAlexFDO

Authors Robert L. Goodrich, Peter E. Caines

Publication date 1979

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

Full work available at URL https://doi.org/10.1109/tac.1979.1102037

zbMATH Keywords

Asymptotic NormalityIdentificationKalman FilterLinear Time-Invariant SystemsNonstationary ObservationsStrong Consistency

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Model systems in control theory (93C99) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12)

Cited in

(10)

• Formulation and estimation of dynamic models using panel data
• Kalman filtering estimation of unobserved rational expectations with an application to the German hyperinflation
• Cyclic seesaw process for optimization and identification
• IDENTIFICATION THEORY FOR VARYING COEFFICIENT REGRESSION MODELS
• Asymptotic distribution theory for the kalman filter state estimator
• Effect of imprecisely known nuisance parameters on estimates of primary parameters
• Analyzing reciprocal relationships by means of the continuous‐time autoregressive latent trajectory model
• Model validation using mismatched filters
• Estimation and tests of hypotheses for the initial mean and covariance in the kalman filter model
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM

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