Identification of Multivariable Errors in Variable Models with Dynamics

Abstract

This note considers the task of identifying a causal, linear, dynamic, multivariable system excited by stationary, zero-mean noise of unknown spectrum, and given measurements of the system inputs and outputs contaminated by independent, additive noise also of unknown spectra. Although the solution is in general not unique, finite-dimensional parameterizations of the solution set are given, even though the various spectra may not be rational. Show more