Model structure selection for multivariable systems by cross-validation methods

DOI10.1080/00207178808906133zbMath0655.62093OpenAlexW2151207412MaRDI QIDQ3802457

Petre Stoica, P. Eykhoff, Peter H. Janssen, Torsten Söderström

Publication date: 1988

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://research.tue.nl/nl/publications/model-structure-selection-for-multivariable-systems-by-crossvalidation-methods(7bbbb17c-10a0-44da-b441-27b252c888e2).html

zbMATH Keywords

scaling invariancemaximum likelihood methodmodel structure selectioncross-validation criterionAkaike's criterionvector processesmulti-variable ARMA models

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

Cites Work

• On line structure selection for multivariable state-space models
• Model-structure selection by cross-validation
• On non-singular information matrices and local identifiability
• Convergence analysis of parametric identification methods
• Kronecker products and matrix calculus in system theory
• A new look at the statistical model identification

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