Identification of factor models by behavioural and subspace methods

被引：2
|
作者：
Scherrer, W
Heij, C
机构：
[1] Erasmus Univ, Inst Econometr, NL-3000 DR Rotterdam, Netherlands
[2] Vienna Univ Technol, Inst Okonometrie Operat Res & Syst Theorie, Vienna, Austria
来源：
SYSTEMS & CONTROL LETTERS | 1997年 / 32卷 / 05期
关键词：
behaviour; linear system; system identification; least squares; factor models; principal components; model reduction;
D O I：
10.1016/S0167-6911(97)00088-1
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The behavioural framework has several attractions to offer for the identification of multivariable systems. Some of the variables may be left unexplained without the need for a distinction between inputs and outputs, criteria for model quality are independent of the chosen parametrization; and behaviours allow for a global (i.e., non-local) approximation of the system dynamics. This is illustrated by the identification of dynamic factor models. Behavioural least squares is a natural method for this problem, and a comparison is given with non-behavioural methods. (C) 1997 Elsevier Science B.V.
引用
收藏
页码：335 / 344
页数：10
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