Model structure selection for multivariable systems by cross-validation methods

DOI10.1080/00207178808906133MaRDI QIDQ3802457zbMATH OpenOpenAlexFDO

Authors Peter H. Janssen, Petre Stoica, P. Eykhoff, Torsten Söderström

Publication date 1988

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://research.tue.nl/nl/publications/model-structure-selection-for-multivariable-systems-by-crossvalidation-methods(7bbbb17c-10a0-44da-b441-27b252c888e2).html

zbMATH Keywords

Akaike's criterioncross-validation criterionmaximum likelihood methodmodel structure selectionmulti-variable ARMA modelsscaling invariancevector processes

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

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Cites work

• A new look at the statistical model identification
• Convergence analysis of parametric identification methods
• Kronecker products and matrix calculus in system theory
• Model-structure selection by cross-validation
• On line structure selection for multivariable state-space models
• On non-singular information matrices and local identifiability

Cited in

(2)

• Model-structure selection by cross-validation
• Selecting models with different spectral density matrix structures by the cross-validated log likelihood criterion

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