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IDENTIFICATION OF NOISY LINEAR SYSTEMS WITH MULTIPLE ARMA INPUTS
Author(s) -
Tigelaar Harry H.
Publication year - 1985
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1985.tb00402.x
Subject(s) - identifiability , mathematics , identification (biology) , noise (video) , multivariate statistics , statistics , autoregressive–moving average model , linear system , econometrics , artificial intelligence , autoregressive model , computer science , mathematical analysis , botany , image (mathematics) , biology
. In this paper we give conditions for identifiability of the parameters of a linear system that is disturbed by moving average noise, where the inputs are generated by a multivariate ARMA‐process. The identifiability is based on finite samples from in‐and output.