Algorithms for global total least squares modelling of finite multivariable time series
type: Item
instance of: scholarly article
title: Algorithms for global total least squares modelling of finite multivariable time series
zbMATH Open document ID: 0824.93063
DOI: 10.1016/0005-1098(94)00114-X
author: Berend Roorda
published in: Automatica
publication date: 1995-11-09T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 93E12
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 93C35
Mathematics Subject Classification ID: 93C05
zbMATH DE Number: 768855
zbMATH Keywords: identification
zbMATH Keywords: linear systems
zbMATH Keywords: Kalman filters
zbMATH Keywords: global total least squares
zbMATH Keywords: modelling
zbMATH Keywords: time series
zbMATH Keywords: state space
zbMATH Keywords: Gauss-Newton method
zbMATH Keywords: time-invariant
reviewed by: Pedro A. Morettin
MaRDI profile type: Publication
cites work: Q3993534
cites work: Q5185900
cites work: Global total least squares modeling of multivariable time series
cites work: From time series to linear system. I: Finite dimensional linear time invariant systems
cites work: From time series to linear system, II. Exact modelling
cites work: From time series to linear system, III: Approximate modelling
full work available at URL: 0005-1098(94)00114-x
OpenAlex ID: W2045131550
description: scientific article; zbMATH DE number 768855