Automatic Construction of Linear Stochastic Dynamic Models For Stationary Industrial Processes with Random Disturbances Using Operating Records
We describe a new technique for automatic identification of stationary, linear systems with a single output. This class of models includes all linear, time-invariant, stochastic, difference equations driven by arbitrary inputs and having stationary, normal disturbances with rational spectra.The parameters of the model are estimated by the method of maximum likelihood. A numerical algorithm for sol
