System Identification

Christiaan Heij (), André C.M. Ran () and Frederik van Schagen ()
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Christiaan Heij: Erasmus University Rotterdam, Department of Econometrics
André C.M. Ran: Vrije Universiteit, Department of Mathematics
Frederik van Schagen: Vrije Universiteit, Department of Mathematics

Chapter 9 in Introduction to Mathematical Systems Theory, 2021, pp 137-155 from Springer

Abstract: Abstract System identification is concerned with the estimation of a system on the basis of observed data. This involves specification of the model structure, estimation of the unknown model parameters, and validation of the resulting model. Least squares and maximum likelihood methods are discussed, for stationary processes (without inputs) and for input-output systems.

Date: 2021
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DOI: 10.1007/978-3-030-59654-5_9

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