Parameter estimation in nonlinear systems with auto and crosscorrelated noise

DOI10.1016/S0005-1098(01)00183-2zbMath1004.93012OpenAlexW2165236402MaRDI QIDQ5953542

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Publication date: 24 January 2002

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0005-1098(01)00183-2

zbMATH Keywords

identificationnonlinear systemscovariance matrixestimatorcrosscorrelated noiseGohberg-Heinig formulainversion of a block-Toeplitz matrixmaximum likelihood parameter estimationmultivariable autoregressive process

Mathematics Subject Classification ID

System identification (93B30) Nonlinear systems in control theory (93C10) Identification in stochastic control theory (93E12)

Related Items (1)

Maximum likelihood based identification methods for rational models

Cites Work

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• Identification of parametric models from experimental data. Transl. from an upd. French version by the authors, with the help of John Norton
• On covariance function tests used in system identification
• An estimator of the inverse covariance matrix and its application to ML parameter estimation in dynamical systems
• Statistical measurement of frequency response function
• A Simplex Method for Function Minimization
• A comparative study of AR order selection methods

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