Algorithms for global total least squares modelling of finite multivariable time series
This paper presents several algorithms related to the global total least squares (GTLS) modelling of multivariable time series observed in a finite time interval. Necessary conditions for optimality are described in terms of state space representations. A Gauss-Newton method for the construction of GTLS models is presented. An example illustrates the results.
scientific article; zbMATH DE number 768855