zbMATH — the first resource for mathematics

The set of observationally equivalent errors-in-variables models. (English) Zbl 0902.93067
Summary: Linear dynamic errors-in-variables (or factor-) models with uncorrelated noise components are considered. We give a description of the set of all noise spectra which are oberservationally equivalent with respect to the second moments of observations.

93E12 Identification in stochastic control theory
Full Text: DOI
[1] Beghelli, S.; Guidorzi, R.P.; Soverini, U., The frisch scheme in dynamic system identification, Automatica, 26, 171-176, (1990) · Zbl 0714.93058
[2] Deistler, M.; Anderson, B.D.O., Linear dynamic errors-in-variables models, some structure theory, J. econometrics, 41, 39-63, (1989) · Zbl 0697.62104
[3] Deistler, M.; Scherrer, W., Identification of linear systems from noisy data, (), 21-42 · Zbl 0769.93079
[4] R. Frisch, Statistical confluence analysis by means of complete regression systems, Publication No. 5, University of Oslo, Economic lnstitute, 1934, p. 192. · Zbl 0011.21903
[5] Kalman, R.E., Identifiability and modeling in econometrics, () · Zbl 0556.62088
[6] Lancaster, P., Theory of matrices, (1969), Academic Press New York · Zbl 0186.05301
[7] W. Scherrer, M. Deistler, A structure theory for linear dynamic errors in variables models, SIAM J. Control Optim., to appear. · Zbl 0912.93018
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.