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Filtering and System Identification by Vincent Verdult, Michel Verhaegen

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8

Prediction-error parametric model estimation

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After studying this chapter you will be able to

•  describe the prediction-error model-estimation problem;

•  parameterize the system matrices of a Kalman filter of fixed and known order such that all stable MIMO Kalman filters of that order are presented;

•  formulate the estimation of the parameters of a given Kalman-filter parameterization via the solution of a nonlinear optimization problem;

•  evaluate qualitatively the bias in parameter estimation for specific SISO parametric models, such as ARX, ARMAX, output-error, and Box–Jenkins models, under the assumption that the signal-generating system ...

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