Identification of certain noisy MA models: New results

W. Hachem; F. Desbouvries; Ph Loubaton

doi:10.1016/S0167-6911(99)00101-2

Identification of certain noisy MA models: New results

W. Hachem
, F. Desbouvries
, Ph Loubaton

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper, we address the identification problem of p-inputs q-outputs MA models, corrupted by a white noise with unknown covariance matrix, in the case where p < q. Under certain additional conditions, we show that the generating function of the MA model is identifiable (up to a p x p constant orthogonal matrix) from the autocovariance function of the observation. Our results extend those already obtained in Desbouvries et al. [5] and Desbouvries and Loubaton [6].

Original language	English
Pages (from-to)	237-243
Number of pages	7
Journal	Systems and Control Letters
Volume	39
Issue number	4
DOIs	https://doi.org/10.1016/S0167-6911(99)00101-2
Publication status	Published - 7 Apr 2000
Externally published	Yes

Keywords

Noisy MA models
Polynomial bases of rational subspaces
Stochastic realization
Truncated autocovariance sequence
Wiener-Hopf factorization

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10.1016/S0167-6911(99)00101-2

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abstract = "In this paper, we address the identification problem of p-inputs q-outputs MA models, corrupted by a white noise with unknown covariance matrix, in the case where p < q. Under certain additional conditions, we show that the generating function of the MA model is identifiable (up to a p x p constant orthogonal matrix) from the autocovariance function of the observation. Our results extend those already obtained in Desbouvries et al. [5] and Desbouvries and Loubaton [6].",

keywords = "Noisy MA models, Polynomial bases of rational subspaces, Stochastic realization, Truncated autocovariance sequence, Wiener-Hopf factorization",

author = "W. Hachem and F. Desbouvries and Ph Loubaton",

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T2 - New results

AU - Hachem, W.

AU - Desbouvries, F.

AU - Loubaton, Ph

PY - 2000/4/7

Y1 - 2000/4/7

N2 - In this paper, we address the identification problem of p-inputs q-outputs MA models, corrupted by a white noise with unknown covariance matrix, in the case where p < q. Under certain additional conditions, we show that the generating function of the MA model is identifiable (up to a p x p constant orthogonal matrix) from the autocovariance function of the observation. Our results extend those already obtained in Desbouvries et al. [5] and Desbouvries and Loubaton [6].

AB - In this paper, we address the identification problem of p-inputs q-outputs MA models, corrupted by a white noise with unknown covariance matrix, in the case where p < q. Under certain additional conditions, we show that the generating function of the MA model is identifiable (up to a p x p constant orthogonal matrix) from the autocovariance function of the observation. Our results extend those already obtained in Desbouvries et al. [5] and Desbouvries and Loubaton [6].

KW - Noisy MA models

KW - Polynomial bases of rational subspaces

KW - Stochastic realization

KW - Truncated autocovariance sequence

KW - Wiener-Hopf factorization

UR - https://www.scopus.com/pages/publications/0347338136

U2 - 10.1016/S0167-6911(99)00101-2

DO - 10.1016/S0167-6911(99)00101-2

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SN - 0167-6911

VL - 39

SP - 237

EP - 243

JO - Systems and Control Letters

JF - Systems and Control Letters

IS - 4

ER -

Identification of certain noisy MA models: New results

Abstract

Keywords

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