On the identification of time-invariant discrete processes

An identification procedure for determination of coefficients of pulse transfer function is proposed. This procedure is applicable for the case when measurement noises of input and output are independent of input to a process and the variances of the noises are known only in the form of the ratio. The noises can be colored. The criterion used for identification is given by extending the mean-square equation error. The optimal estimates are obtained from the eigenvector of a linear operator which corresponds to the least eigenvalue. The theoretical analysis is given and the direction for the practical usage is suggested to use the least-square error criterion.