Recursive Modeling of Discrete-Time Time Series
The approach to modeling inspired by the behavioral framework consists in treating all measurements on an equal footing, not distinguishing between inputs and outputs. Consequently, the initial search is for autonomous models. In the linear, time invariant case, the main result guarantees the existence of a minimal complexity autonomous generating model Θ*. This means that all other models can be explicitely constructed from Θ*. Among them in most cases, the so-called input-output controllable models are of interest. The main purpose of this paper is to show how these models can be constructed in a an easy-to-implement, recursive way.
KeywordsControllable Model Invariant Factor Minimal Complexity Recursive Modeling Unimodular Matrix
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