On the identification of noisy MA models

F. Desbouvries; I. Fijalkow; Ph Loubaton

doi:10.1109/9.545746

On the identification of noisy MA models

F. Desbouvries
, I. Fijalkow
, Ph Loubaton

INT/SIM
95014 Cergy
Université Gustave Eiffel

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

Abstract

In this paper, we address the identification problem of p-input q-output MA models corrupted by a white noise with an 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 from the autocovariance function of the observation. Some simple algebraic identification procedures are also given.

Original language	English
Pages (from-to)	1810-1814
Number of pages	5
Journal	IEEE Transactions on Automatic Control
Volume	41
Issue number	12
DOIs	https://doi.org/10.1109/9.545746
Publication status	Published - 1 Dec 1996
Externally published	Yes

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abstract = "In this paper, we address the identification problem of p-input q-output MA models corrupted by a white noise with an 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 from the autocovariance function of the observation. Some simple algebraic identification procedures are also given.",

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AB - In this paper, we address the identification problem of p-input q-output MA models corrupted by a white noise with an 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 from the autocovariance function of the observation. Some simple algebraic identification procedures are also given.

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JO - IEEE Transactions on Automatic Control

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On the identification of noisy MA models

Abstract

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