From Data to Model

  • Jan C. Willems

Table of contents

  1. Front Matter
    Pages i-vii
  2. Keith Glover
    Pages 26-48
  3. C. Heij, J. C. Willems
    Pages 49-134
  4. Ritei Shibata
    Pages 215-240
  5. Back Matter
    Pages 241-246

About this book

Introduction

The problem of obtaining dynamical models directly from an observed time-series occurs in many fields of application. There are a number of possible approaches to this problem. In this volume a number of such points of view are exposed: the statistical time series approach, a theory of guaranted performance, and finally a deterministic approximation approach. This volume is an out-growth of a number of get-togethers sponsered by the Systems and Decision Sciences group of the International Institute of Applied Systems Analysis (IIASA) in Laxenburg, Austria. The hospitality and support of this organization is gratefully acknowledged. Jan Willems Groningen, the Netherlands May 1989 TABLE OF CONTENTS Linear System Identification- A Survey page 1 M. Deistler A Tutorial on Hankel-Norm Approximation 26 K. Glover A Deterministic Approach to Approximate Modelling 49 C. Heij and J. C. Willems Identification - a Theory of Guaranteed Estimates 135 A. B. Kurzhanski Statistical Aspects of Model Selection 215 R. Shibata Index 241 Addresses of Authors 246 LINEAR SYSTEM IDENTIFICATION· A SURVEY M. DEISTLER Abstract In this paper we give an introductory survey on the theory of identification of (in general MIMO) linear systems from (discrete) time series data. The main parts are: Structure theory for linear systems, asymptotic properties of maximum likelihood type estimators, estimation of the dynamic specification by methods based on information criteria and finally, extensions and alternative approaches such as identification of unstable systems and errors-in-variables. Keywords Linear systems, parametrization, maximum likelihood estimation, information criteria, errors-in-variables.

Keywords

Approximation Modelling Estimator Identification Likelihood Linear Systems Lineare Systeme Zeitreihenanalyse calculus model modeling system system identification time series analysis

Editors and affiliations

  • Jan C. Willems
    • 1
  1. 1.Department of MathematicsUniversity of GroningenGroningenThe Netherlands

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-75007-6
  • Copyright Information Springer-Verlag Berlin Heidelberg 1989
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-642-75009-0
  • Online ISBN 978-3-642-75007-6
  • About this book