Some numerical aspects of multivariable systems identification

DOI10.1007/BFB0120974MaRDI QIDQ3946054zbMATH OpenOpenAlexFDO

Authors Giorgio Picci

Publication date 1982

Published in Algorithms and Theory in Filtering and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bfb0120974

zbMATH Keywords

model structure selectionmultivariate time seriesparametrizationselection algorithms

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Canonical structure (93B10) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Cited in

(5)

• On the use of minimal parametrisations in multivariable ARMAX identification
• State-space approximation of multi-input multi-output systems with stochastic exogenous inputs
• Model-structure selection by cross-validation
• A general Hankel-norm approximation scheme for linear recursive filtering
• Uniquely identifiable state-space and ARMA parametrizations for multivariable linear systems

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