Algorithms for global total least squares modelling of finite multivariable time series. (English) Zbl 0824.93063
This paper presents several algorithms related to the global total least squares (GTLS) modelling of multivariable time series observed in a finite time interval. Necessary conditions for optimality are described in terms of state space representations. A Gauss-Newton method for the construction of GTLS models is presented. An example illustrates the results.
Reviewer: P.A.Morettin (São Paulo)
MSC:
| 93E12 | Identification in stochastic control theory |
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
| 93C35 | Multivariable systems, multidimensional control systems |
| 93C05 | Linear systems in control theory |
Keywords:
identification; linear systems; Kalman filters; global total least squares; modelling; time series; state space; Gauss-Newton method; time-invariantReferences:
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