“A solution to the problem of constructing a state space model from time series”
Authors: David Di Ruscio, Rolf Henriksen and Jens G. Balchen,Affiliation: NTNU, Department of Engineering Cybernetics
Reference: 1994, Vol 15, No 1, pp. 55-63.
Keywords: Combined determinstic-stochastic systems, identification, minimal realization, state-space modeling, time series
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.
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DOI: 10.4173/mic.1994.1.5DOI forward links to this article:
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BibTeX:
@article{MIC-1994-1-5,
title={{A solution to the problem of constructing a state space model from time series}},
author={Di Ruscio, David and Henriksen, Rolf and Balchen, Jens G.},
journal={Modeling, Identification and Control},
volume={15},
number={1},
pages={55--63},
year={1994},
doi={10.4173/mic.1994.1.5},
publisher={Norwegian Society of Automatic Control}
};