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

fYear

1993

fDate

15-17 Dec 1993

Firstpage

3507

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;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1993., Proceedings of the 32nd IEEE Conference on

Conference_Location

San Antonio, TX

Print_ISBN

0-7803-1298-8

Type

conf

DOI

10.1109/CDC.1993.325869

Filename

325869

Link To Document

https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2113695