System Identification of High-Dimensional Linear Dynamical Systems With Serially Correlated Output Noise Components

DOI10.1109/TSP.2020.3020397MaRDI QIDQ5103115zbMATH OpenOpenAlexFDO

Authors Jiahe Lin, George Michailidis

Publication date 23 September 2022

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tsp.2020.3020397

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited in

(3)

• Extracting a low-dimensional predictable time series
• Are Latent Factor Regression and Sparse Regression Adequate?
• Sparse parameter identification for stochastic systems based on L_ regularization

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