Asymptotic analysis of prediction error identification methods

  • M. H. A. Davis
  • R. B. Vinter
Part of the Monographs on Statistics and Applied Probability book series (MSAP)


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.


Identification Criterion Asymptotic Analysis Infinite Order True System Closed Unit Disc 
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Copyright information

© M. H. A. Davis and R. B. Vinter 1985

Authors and Affiliations

  • M. H. A. Davis
    • 1
  • R. B. Vinter
    • 1
  1. 1.Department of Electrical EngineeringImperial CollegeLondonUK

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