State-space approximation of multi-input multi-output systems with stochastic exogenous inputs

DOI10.1016/0898-1221(89)90105-3zbMath0679.62074WikidataQ115051030 ScholiaQ115051030MaRDI QIDQ1822879

Pieter W. Otter, René van Dal

Publication date: 1989

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://pure.rug.nl/ws/files/63157849/State_space_approximation_of_multi_input.pdf

zbMATH Keywords

prediction; VAR; Kalman filters; vector autoregressive models; ARMAX; approximate balanced state-space models; infinite distributed lag model; prewhitened inputs; steady-state Kalman filters

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

93E11: Filtering in stochastic control theory

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