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

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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.

langue originale	Anglais
Pages (de - à)	1810-1814
Nombre de pages	5
journal	IEEE Transactions on Automatic Control
Volume	41
Numéro de publication	12
Les DOIs	https://doi.org/10.1109/9.545746
état	Publié - 1 déc. 1996
Modification externe	Oui

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10.1109/9.545746

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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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On the identification of noisy MA models

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