State-space approximation of multi-input multi-output systems with stochastic exogenous inputs

DOI10.1016/0898-1221(89)90105-3zbMath0679.62074OpenAlexW2118874574WikidataQ115051030 ScholiaQ115051030MaRDI QIDQ1822879

René van Dal, Pieter W. Otter

Publication date: 1989

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://pure.rug.nl/ws/files/63157849/State_space_approximation_of_multi_input.pdf

zbMATH Keywords

predictionVARKalman filtersvector autoregressive modelsARMAXapproximate balanced state-space modelsinfinite distributed lag modelprewhitened inputssteady-state Kalman filters

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

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Cites Work

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• Dynamic feature space modelling, filtering and self-tuning control of stochastic systems. A systems approach with economic and social applications
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• Optimal Hankel-norm model reductions: Multivariable systems
• Principal component analysis in linear systems: Controllability, observability, and model reduction
• Model reduction via balanced state space representations
• Some numerical aspects of multivariable systems identification

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