A solution to the problem of constructing a state space model from time series

Modeling, Identification and Control

关键词: Combined determinstic-stochastic systems;    identification;    minimal realization;    state-space modeling;   

DOI  :  10.4173/mic.1994.1.5

来源: DOAJ

【 摘 要 】

The problem of constructing minimal realizations from arbitrary input-output time series which are only covariance stationary (not necessarily stationary) is considered. An algorithm which solves this problem for a fairly nonrestrictive class of exogenous (input) signals is presented. The algorithm is based upon modeling nonzero exogenous signals by linear models and including these in the total system model.

【 授权许可】

Unknown