Instrumental Variable Algorithms for Multiple Input Systems Described by Multiple Transfer Functions

DOI10.1109/TSMC.1980.4308363MaRDI QIDQ3908877zbMATH OpenDBLPWikidataFDO

Authors L. Paul Steele, A. J. Jakeman, Peter Young

Publication date 1980

Published in IEEE Transactions on Systems, Man, and Cybernetics (Search for Journal in Brave)

zbMATH Keywords

multiple transfer functions

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10)

Cited in

(8)

• Selecting the best linear transfer function model
• Recursive multivariate time-series analysis with the inputs split into subsets with separate matrix transfer functions
• High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
• Principal component analysis for second-order stationary vector time series
• Irreducible model estimation for MIMO systems
• Refined instrumental variable estimation: maximum likelihood optimization of a unified Box-Jenkins model
• Advanced methods of recursive time-series analysis
• Choice of models for on-line identification of MIMO stochastic systems

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