Dynamic feature space modelling, filtering and self-tuning control of stochastic systems. A systems approach with economic and social applications

zbMath0567.93002MaRDI QIDQ1060166

Pieter W. Otter

Publication date: 1985

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

Kalman filteringprediction error methodsparameter identifiabilityoptimal reconstructionself-tuning controlfeature space modellinglinear structural feature space (LSF) modelsocial and economic applications

Mathematics Subject Classification ID

Related Items (9)

Dynamic structural systems under indirect observation: Identifiability and estimation aspects from a system theoretic perspective ⋮ THE RECURSIVE FITTING OF SUBSET VARX MODELS ⋮ Multivariate time series analysis with state space models ⋮ State space modelling and spectral analysis of cointegrated vector processes (evidence from the U.S. and Scandinavian economies) ⋮ Analytical uses of Kalman filtering in econometrics — A survey ⋮ Forecasting international growth rates with leading indicators: A system- theoretic approach ⋮ STRUCTURAL, DYNAMIC MODELLING IN UNOBSERVABLE SPACES OF COVARIANCE-STATIONARY STOCHASTIC PROCESSES ⋮ On the choice of weighting matrices in the minimum variance controller ⋮ State-space approximation of multi-input multi-output systems with stochastic exogenous inputs

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