On covariance function tests used in system identification

DOI10.1016/0005-1098(90)90164-DzbMATH Open0714.93056OpenAlexW2006250902MaRDI QIDQ751604FDOQ751604

Authors: Torsten Söderström, Petre Stoica 

Publication date: 1990

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(90)90164-d

Recommendations

• Validity of the standard cross-correlation test for model structure validation
• Covariance analysis in SISO linear systems identification
• Multi-directional model validity tests for non-linear system identification
• MODEL VALIDATION OF SPATIOTEMPORAL SYSTEMS USING CORRELATION FUNCTION TESTS
• Residual models and stochastic realization in state-space identification

zbMATH Keywords

parameter estimationcovariance functionstatistical testsmodel validationprediction error methodscorrelation methodscovariance testssystem order determination

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

Cites Work

• Title not available (Why is that?)
• A Gaussian Approximation to the Distribution of a Definite Quadratic Fo
• The Multivariate Portmanteau Statistic
• On a measure of lack of fit in time series models
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• On covariance function tests used in system identification
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the problem of ambiguities in maximum likelihood identification
• Diagnostic testing of univariate time series models
• Detection of abrupt changes in signals and dynamical systems. (Proceedings of a Conference on Detection of Abrupt Changes in Signals and Dynamical Systems, Paris, March 21-22, 1984)
• Detecting changes in the ar parameters of a nonstationary arma process
• Significance levels of the Box-Pierce portmanteau statistic in finite samples

Cited In (only showing first 100 items - show all)

• Optimal experimental design and some related control problems
• Hammerstein-Wiener system estimator initialization
• Interval predictor models: identification and reliability
• Correlation-based tuning of decoupling multivariable controllers
• The asymptotic model quality assessment for instrumental variable identification revisited
• Self-optimizing generalized adaptive notch filters -- comparison of three optimization strategies
• Comparison of the closed-loop identification methods in terms of the bias distribution
• On Rissanen's predictive stochastic complexity for stationary ARMA processes
• An output error recursive algorithm for unbiased identification in closed loop
• A bias-correction method for indirect identification of closed-loop systems
• Structure testing of wave propagation models used in identification of viscoelastic materials
• Identification of linear dynamic systems using piecewise constant exitations: Use, misuse and alternatives
• Estimation of model quality
• Subspace identification for continuous-time stochastic systems via distribution-based approach
• Variance properties of a two-step ARX estimation procedure
• Robust identification of OE model with constrained output using optimal input design
• Parameter estimation in stochastic grey-box models.
• Closed-loop identification condition for ARMAX models using routine operating data
• Box-Jenkins identification revisited. I: Theory
• An implicit least squares algorithm for nonlinear rational model parameter estimation
• A set of novel correlation tests for nonlinear system variables
• Identification of nonlinear system structure and parameters using regime decomposition
• Correlation-based tuning of a restricted-complexity controller for an active suspension system
• Consistency of subspace methods for signals with almost-periodic components
• Optimal instrumental-variable methods for identification of multivariable linear systems
• Optimal experiment design for identification of ARX models with constrained output in non-Gaussian noise
• Non-parametric methods for \({\mathcal L}_2\)-gain estimation using iterative experiments
• Representation and identification of non-parametric nonlinear systems of short term memory and low degree of interaction
• Estimation and tracking of complex-valued quasi-periodically varying systems
• Variance analysis of identified linear MISO models having spatially correlated inputs, with application to parallel Hammerstein models
• Kernel based approaches to local nonlinear non-parametric variable selection
• Optimal input design for system identification using spectral decomposition
• Identification of nonlinear additive FIR systems
• Subspace identification of closed loop systems by the orthogonal decomposition method
• Identification of nonlinear systems using polynomial nonlinear state space models
• Assessing the quality of identified models through the asymptotic theory -- when is the result reliable?
• A counterexample to the uniqueness of the asymptotic estimate in ARMAX model identification via the correlation approach
• Sparse estimation from noisy observations of an overdetermined linear system
• Non-parametric identification of viscoelastic materials from wave propagatio experiments
• Non-stationary stochastic embedding for transfer function estimation
• Application of a subspace model identification technique to identify LTI systems operating in closed-loop
• Recusrsive prediction error identification using the nonlinear Wiener model
• Common factor detection and estimation
• An insight into instrumental variable frequency-domain subspace identification
• Feasible parameter set for linear models with bounded errors in all variables
• Recursive algorithms for identification in closed loop: A unified approach and evaluation
• Identification of continuous-time AR processes from unevenly sampled data
• Non-asymptotic confidence ellipsoids for the least-squares estimate
• Iterative robust control: speeding up improvement through iterations
• On resampling and uncertainty estimation in linear system identification
• Virtual reference feedback tuning for non-minimum phase plants
• The cost of complexity in system identification: the output error case
• Improved estimation performance using known linear constraints
• A homotopy approach to improving PEM identification of ARMAX models
• Realization of stable models with subspace methods
• Analysis of closed-loop identification with a tailor-made parameterization. With discussion by I. D. Landau, A. Karimi and F. De Bruyne.
• A globally consistent nonlinear least squares estimator for identification of nonlinear rational systems
• On the worst-case divergence of the least-squares algorithm
• Parameter-based conditions for closed-loop system identifiability of ARX models with routine operating data
• Covariance analysis in SISO linear systems identification
• Variance analysis of linear SIMO models with spatially correlated noise
• Auxiliary model based recursive and iterative least squares algorithm for autoregressive output error autoregressive systems
• A IV based criterion for model order selection
• Bias of indirect non-parametric transfer function estimates for plants in closed loop
• An approach to closed-loop subspace identification by orthogonal decomposition
• On the indirect approaches for CARMA model identification
• On the martingale approximation of the estimation error of ARMA parameters
• Errors-in-variables identification in dynamic networks-consistency results for an instrumental variable approach
• Identification of closed-loop systems with low-order controllers
• Multivariable time series sediment dynamical model and its identification in Rufiji Delta, Tanzania
• On the equivalence of least costly and traditional experiment design for control
• Identification of block-oriented nonlinear systems starting from linear approximations: a survey
• The asymptotic variance of subspace estimates.
• On linear models for nonlinear systems
• On homogeneous least-squares problems and the inconsistency introduced by mis-constraining
• Assessing the strength of cardiac and sympathetic baroreflex controls via transfer entropy during orthostatic challenge
• Errors-in-variables identification using maximum likelihood estimation in the frequency domain
• On Tikhonov regularization, bias and variance in nonlinear system identification
• Identification of dynamic systems using multiple input-single output (MISO) models
• Low-order self-tuner for fault-tolerant control of a class of unknown nonlinear stochastic sampled-data systems
• Interval-excitation through impulse sequences. A technical lemma
• A higher-order correlation method for model-order and parameter estimation
• Stationary behavior of an anti-windup scheme for recursive parameter estimation under lack of excitation
• A high-order Yule-Walker method for estimation of the AR parameters of an ARMA model
• Decomposition of human motion into dynamics-based primitives with application to drawing tasks.
• Box-Jenkins alike identification using nonparametric noise models
• Non-asymptotic quality assessment of generalised FIR models with periodic inputs
• Identification of semi-physical and black-box non-linear models: The case of MR-dampers for vehicles control
• LTI modelling of NFIR systems: near-linearity and control, LS estimation and linearization
• Learning noisy functions via interval models
• The effects of rapid sampling in system identification
• Finite sample properties of system identification of ARX models under mixing conditions
• Integral constraints on the accuracy of least-squares estimation
• Misfit versus latency
• Subspace identification using instrumental variable techniques
• Modeling continuous-time processes via input-to-state filters
• LTI approximation of nonlinear systems via signal distribution theory
• Fast approximate identification of nonlinear systems
• An improved method for Wiener-Hammerstein system identification based on the fractional approach
• Joining and decomposing reaction networks

Uses Software

• System Identification Toolbox

This page was built for publication: On covariance function tests used in system identification

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q751604)