Algorithms for global total least squares modelling of finite multivariable time series

DOI10.1016/0005-1098(94)00114-XzbMATH Open0824.93063OpenAlexW2045131550MaRDI QIDQ1892997FDOQ1892997

Authors: Berend Roorda 

Publication date: 9 November 1995

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(94)00114-x

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zbMATH Keywords

identificationmodellingtime serieslinear systemsKalman filterstime-invariantGauss-Newton methodstate spaceglobal total least squares

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear systems in control theory (93C05) Multivariable systems, multidimensional control systems (93C35) Identification in stochastic control theory (93E12)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• From time series to linear system, II. Exact modelling
• From time series to linear system. I: Finite dimensional linear time invariant systems
• From time series to linear system, III: Approximate modelling
• Global total least squares modeling of multivariable time series

Cited In (11)

• Global total least squares modeling of multivariable time series
• Optimal angle reduction -- a behavioral approach to linear system approximation
• Misfit versus latency
• Identification of factor models by behavioural and subspace methods
• Optimal errors-in-variables filtering
• Maximum likelihood identification of noisy input-output models
• Rational representation of behaviors: Interconnectability and stabilizability
• Structured low-rank approximation and its applications
• Local stability in the problem of identifying coefficients of a linear difference equation
• Deterministic Kalman filtering in a behavioral framework
• Weighted norms in subspace-based methods for time series analysis.

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