• DOI:10.1007/978-3-662-03295-4_7
• Corpus ID: 122842206

System identification with information theoretic criteria

@inproceedings{Stoorvogel1995SystemIW,
  title={System identification with information theoretic criteria},
  author={Anton A. Stoorvogel and Jan H. van Schuppen},
  year={1995}
}

• A. Stoorvogel, J. H. Schuppen
• Published 1995
• Computer Science, Mathematics

Attention is focused in this paper on the approximation problem of system identification with information theoretic criteria. For a class of problems it is shown that the criterion of mutual information rate is identical to the criterion of exponential-of-quadratic cost and to $H_{infty$ entropy. In addition the relation between the likelihood function and divergence is explored. As a consequence of these relations a parameter estimator is derived by four methods for the approximation of a stationary Gaussian process by the output of a Gaussian system. The unified framework for approximation problems of system identification formulated in this paper seems extremely useful.