Prediction error identification of linear dynamic networks with rank-reduced noise

DOI10.1016/j.automatica.2018.09.033zbMath1406.93364arXiv1711.06369MaRDI QIDQ1716605

Van den Hof, Paul M. J., Harm H. M. Weerts, Arne G. Dankers

Publication date: 5 February 2019

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.06369

zbMATH Keywords

system identification; consistency; variance; maximum likelihood; dynamic networks; Cramér-Rao lower bound; rank-reduced noise

Mathematics Subject Classification ID

93C05: Linear systems in control theory

93E24: Least squares and related methods for stochastic control systems

93E12: Identification in stochastic control theory