Algorithms for global total least squares modelling of finite multivariable time series (Q1892997)
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scientific article; zbMATH DE number 768855
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Algorithms for global total least squares modelling of finite multivariable time series |
scientific article; zbMATH DE number 768855 |
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Algorithms for global total least squares modelling of finite multivariable time series (English)
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9 November 1995
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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.
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identification
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linear systems
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Kalman filters
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global total least squares
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modelling
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time series
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state space
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Gauss-Newton method
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time-invariant
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