Comparison of Prediction-Error-Modelling Criteria

@article{Jorgensen2007ComparisonOP,
  title={Comparison of Prediction-Error-Modelling Criteria},
  author={J. Bagterp Jorgensen and S. Bay Jorgensen},
  journal={2007 American Control Conference},
  year={2007},
  pages={140-146}
}
Single and multi-step prediction-error-methods based on the maximum likelihood and least squares criteria are compared. The prediction-error methods studied are based on predictions using the Kalman filter and Kalman predictors for a linear discrete-time stochastic state space model, which is a realization of a continuous-discrete multivariate stochastic transfer function model. The proposed prediction error-methods are demonstrated for a SISO system parameterized by the transfer functions with… CONTINUE READING