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Balanced parametrization in time-series identification

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3 Author(s)
McGinnie, B.P. ; Dept. of Eng., Cambridge Univ., UK ; Ober, R.J. ; Maciejowski, J.M.

The authors examine the identification of time-series, following a predictor-error approach using a novel parametrization for predictors. This parametrization relies on a canonical form for minimum-phase systems which utilizes a generalized notion of a balanced realization. In this framework an identification scheme involving only unconstrained optimizations is developed, and an approach to the order selection problem is suggested

Published in:

Decision and Control, 1990., Proceedings of the 29th IEEE Conference on

Date of Conference:

5-7 Dec 1990