Asymptotic analysis of prediction error identification methods
Chapter 4 provided for the most part merely a description of identification methods for dynamical systems. It is true that if we limit attention to simple moving-average models with uncorrelated disturbances and if we assume that the system is describable within the model set, then the models can be reformulated as static models to which the analysis of Section 4.3 is applicable and we can deduce certain properties of the estimates. However, the question remains open of how good are the estimates when more complicated models are considered, or when the model set does not contain a description of the system. The analysis which follows is centred on this question.
KeywordsIdentification Criterion Asymptotic Analysis Infinite Order True System Closed Unit Disc
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