Box-Jenkins alike identification using nonparametric noise models. (English) Zbl 1077.93052
Summary: The identification of a SISO linear dynamic system in the presence of output noise disturbances is studied. It is shown that a nonparametric model for the disturbing output noise can be extracted from the raw data, even without estimating a plant model. Next a Box-Jenkins alike identification scheme is proposed using the nonparametric noise model as weighting.
MSC:
| 93E12 | Identification in stochastic control theory |
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