Parameter identification technique for multivariate stochastic systems

DOI10.1016/0005-1098(79)90072-4zbMath0406.93055OpenAlexW2341228348MaRDI QIDQ1257865

Hiroyuki Imai, Hajime Akashi, Kamal A. F. Moustafa

Publication date: 1979

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(79)90072-4

zbMATH Keywords

Parameter EstimationDiscrete Time SystemsParameter IdentificationLinear SystemMultivariate Stochastic SystemsOptimizaton

Mathematics Subject Classification ID

Multivariable systems, multidimensional control systems (93C35) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Identification in stochastic control theory (93E12)

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Cites Work

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• Identification of optimum filter steady-state gain for systems with unknown noise covariances
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• On the Control of Linear Multiple Input-Output Systems*

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