IDENTIFICATION OF NOISY LINEAR SYSTEMS WITH MULTIPLE ARMA INPUTS

Harry H. Tigelaar

Journal of Time Series Analysis, 1985, vol. 6, issue 2, 109-115

Abstract: Abstract. In this paper we give conditions for identifiability of the parameters of a linear system that is disturbed by moving average noise, where the inputs are generated by a multivariate ARMA‐process. The identifiability is based on finite samples from in‐and output.

Date: 1985
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