Open-loop asymptotically efficient model reduction with the Steiglitz-McBride method

DOI10.1016/J.AUTOMATICA.2017.12.016MaRDI QIDQ1640262zbMATH OpenOpenAlexFDO

Authors Niklas Everitt, Miguel Galrinho, Håkan Hjalmarsson

Publication date 14 June 2018

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2017.12.016

zbMATH Keywords

maximum likelihoodsystem identificationhigh order ARX-modelingSteiglitz-McBride

Mathematics Subject Classification ID

System structure simplification (93B11) Identification in stochastic control theory (93E12) Least squares and related methods for stochastic control systems (93E24)

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• Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems
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• The Box-Jenkins Steiglitz-McBride algorithm
• The Steiglitz-McBride identification algorithm revisited--Convergence analysis and accuracy aspects

Cited in

(6)

• A scalable multi-step least squares method for network identification with unknown disturbance topology
• Maximum likelihood iterative identification approaches for multivariable equation-error moving average systems
• Model reductions of high-order estimated models: the asymptotic ML approach
• Sparse estimation in linear dynamic networks using the stable spline horseshoe prior
• Estimating models with high-order noise dynamics using semi-parametric weighted null-space fitting
• An empirical Bayes approach to identification of modules in dynamic networks

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