Template-Type: ReDIF-Paper 1.0
Author-Name: Scherrer, W.
Author-Name-Last: Scherrer
Author-Name: Heij, C.
Author-Name-Last: Heij
Author-Name-First: Christiaan
Title: Identification of System Behaviours by Approximation of Time Series Data
Abstract: The behavioural framework has several attractions to offer for the identification of multivariable systems. Some of the variables may be left unexplained without the need for a distinction between inputs and outputs; criteria for model quality are independent of the chosen parametrization; and behaviours allow for a global (i.e., non-local) approximation of the system dynamics. This is illustrated with a behavioural least squares method with an application in dynamic factor analysis.
Creation-Date: 1997-01-01
File-URL: https://repub.eur.nl/pub/1416/eeb19960111120058.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 9710-/A
Keywords: behaviour, factor models, least squares, linear system, system identification
Handle: RePEc:ems:eureir:1416