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A nonparametric algorithm for identification of linear dynamic SISO systems of unknown order. (English) Zbl 0601.93054
A new nonparametric algorithm is presented for estimation of the weighting function of linear dynamic single-input-single-output systems. The behavior of the mean squared error of the proposed estimate is examined. Finally, the optimal parameter is found for the best speed of uniform mean squared consistency.

MSC:
93E12 Identification in stochastic control theory
93C05 Linear systems in control theory
93E25 Computational methods in stochastic control (MSC2010)
62G05 Nonparametric estimation
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