Model structure selection for multivariable systems by cross-validation methods
DOI10.1080/00207178808906133zbMath0655.62093MaRDI QIDQ3802457
Petre Stoica, P. Eykhoff, Peter H. Janssen, Torsten Söderström
Publication date: 1988
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://research.tue.nl/nl/publications/model-structure-selection-for-multivariable-systems-by-crossvalidation-methods(7bbbb17c-10a0-44da-b441-27b252c888e2).html
scaling invariance; maximum likelihood method; model structure selection; cross-validation criterion; Akaike's criterion; vector processes; multi-variable ARMA models
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
93E12: Identification in stochastic control theory
Cites Work
- On line structure selection for multivariable state-space models
- Model-structure selection by cross-validation
- On non-singular information matrices and local identifiability
- Convergence analysis of parametric identification methods
- Kronecker products and matrix calculus in system theory
- A new look at the statistical model identification