Title :
A solution to the problem of constructing a state space model from time series
Author :
Di Ruscio, David ; Henriksen, Rolf ; Balchen, Jens G.
Author_Institution :
Div. of Eng. Cybern., Inst. of Technol., Trondheim, Norway
Abstract :
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
Keywords :
modelling; state-space methods; time series; I/O time series; covariance stationary time series; input signals; input-output time series; minimal realizations; nonzero exogenous signals; state space model construction; time series; total system model; Cybernetics; Econometrics; Output feedback; Space technology; State feedback; State-space methods; Stochastic processes; System identification; Technological innovation; Vectors;
Conference_Titel :
Decision and Control, 1993., Proceedings of the 32nd IEEE Conference on
Conference_Location :
San Antonio, TX
Print_ISBN :
0-7803-1298-8
DOI :
10.1109/CDC.1993.325869
