Estimation of Optimum Structures and Parameters for Linear Systems

  • J. Rissanen
  • L. Ljung
Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 131)


The problem of determining a linear state space model for a stochastic process from measured output data contains, as an important part, the problem of choosing of a suitable structure for the model. A criterion is studied which measures the fit between the model and the data as well as the validity of a structure assumption. Hence the parameter and structure estimates can be obtained by minimization of a single criterion. The minimizing model is shown to converge to one with a correct structure and parameter values in this structure.


Commutative Ring Linear Dynamical System Forgetful Functor Adjoint Functor Finite Memory 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer-Verlag Berlin · Heidelberg 1976

Authors and Affiliations

  • J. Rissanen
    • 1
  • L. Ljung
    • 2
  1. 1.IBM Research LaboratorySan JoseUSA
  2. 2.Division of Automatic ControlLund Institute of TechnologyLundSweden

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