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The Frisch scheme in algebraic and dynamic identification problems. (English) Zbl 1177.93089
Summary: This paper considers the problem of determining linear relations from data affected by additive noise in the context of the Frisch scheme. The loci of solutions of the Frisch scheme and their properties are first described in the algebraic case. In this context two main problems are analyzed: the evaluation of the maximal number of linear relations compatible with data affected by errors and the determination of the linear relation actually linking the noiseless data. Subsequently the extension of the Frisch scheme to the identification of dynamical systems is considered for both SISO and MIMO cases and the problem of its application to real processes is investigated. For this purpose suitable identification criteria and model parametrizations are described. Finally two classical identification problems are mapped into the Frisch scheme, the blind identification of FIR channels and the identification of AR+ noise models. This allows some theoretical and practical extensions.

MSC:
93E12 Identification in stochastic control theory
93C05 Linear systems in control theory
15B48 Positive matrices and their generalizations; cones of matrices
62J05 Linear regression; mixed models
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