Robust maximum-likelihood estimation of multivariable dynamic systems

DOI10.1016/j.automatica.2005.05.008zbMath1087.93054OpenAlexW2011691068MaRDI QIDQ2573905

Brett Ninness, Stuart Gibson

Publication date: 25 November 2005

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1959.13/30073

zbMATH Keywords

system identificationparameter estimation

Mathematics Subject Classification ID

Multivariable systems, multidimensional control systems (93C35) Estimation and detection in stochastic control theory (93E10)

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Uses Software

• Matlab
• System Identification Toolbox
• astsa

Cites Work

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• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• On covariance function tests used in system identification
• On the convergence properties of the EM algorithm
• On the global and componentwise rates of convergence of the EM algorithm
• EM-based multiuser detection in fast fading multipath environments
• Data driven local coordinates for multivariable linear systems and their application to system identification
• Stochastic processes and filtering theory
• Identification of ARX-models subject to missing data
• Estimation with Missing Data
• Minimum variance bounds for overparameterized models

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