TRANSFER FUNCTION MODEL ORDER AND PARAMETER ESTIMATION

Keh‐Shin Lii

Journal of Time Series Analysis, 1985, vol. 6, issue 3, 153-169

Abstract: Abstract. A distributed lag model with a rational transfer function is considered. We have demonstrated that the C‐table can be used to determine the orders of the rational transfer function and the Padé table can be used to estimate the parameters of an identifiable transfer function. In case the model is not uniquely identified, the C‐table reduces possible competing models to only a few for further examination. Padé approximant gives consistent initial values for possibly more efficient iterative procedures to estimate the coefficients of the identified model. Some asymptotic results on the estimation of the C‐table and the Padé table are given. A few examples are presented to demonstrate the effectiveness of the method.

Date: 1985
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