Identification of System Behaviours by Approximation of Time Series Data
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.
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|Econometric Institute Research Papers|
|Organisation||Erasmus School of Economics|
Scherrer, W, & Heij, C. (1997). Identification of System Behaviours by Approximation of Time Series Data (No. EI 9710-/A). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/1416