System Identification by Dynamic Factor Models

DOI10.1137/S0363012995282127MaRDI QIDQ4377419zbMATH OpenFDO

Authors Christiaan Heij, Wolfgang Scherrer, Manfred Deistler

Publication date 9 February 1998

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

identificationleast squares methoddynamic factor modelsmise uncertainty

Mathematics Subject Classification ID

System structure simplification (93B11) System identification (93B30) Stochastic systems in control theory (general) (93E03) Identification in stochastic control theory (93E12)

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(11)

• Identification of causal factor models of stationary time series
• scientific article; zbMATH DE number 3965942 (Why is no real title available?)
• Errors-in-variables methods in system identification
• Dynamic structural systems under indirect observation: Identifiability and estimation aspects from a system theoretic perspective
• Sparse plus low rank network identification: a nonparametric approach
• On continuity and consistency of \(\ell_{\infty}\) optimal models
• Identification of factor models by behavioural and subspace methods
• Latent variables analysis in structural models: a new decomposition of the Kalman smoother
• Linear models based on noisy data and the Frisch scheme
• An alternating minimization algorithm for factor analysis.
• STRUCTURAL, DYNAMIC MODELLING IN UNOBSERVABLE SPACES OF COVARIANCE-STATIONARY STOCHASTIC PROCESSES

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