Linear dynamic errors-in-variables models

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 1986 English Publisher:Cambridge University Press (CUP)Journal:Journal of Applied Probability, volume 23, pages 23-39 (issn: 0021-9002, eissn: 1475-6072,

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Authors: M. Deistler;

doi: 10.2307/3214340 , 10.1017/s002190020011695x

Linear dynamic errors-in-variables models

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Abstract

Linear dynamical systems where both inputs and outputs are contaminated by errors are considered. A characterization of the sets of all observationally equivalent transfer functions is given, the role of the causality assumption is investigated and conditions for identifiability in the case of Gaussian as well as non-Gaussian observations are derived.

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