Parameter and Order Estimation in A Class of Multivariate Stochastic Systems

Abstract

The problem of estimating the parameters and order of a class of multivariate systems is treated. The considered systems are described by a stochastic time invariant linear difference equation. We will introduce the so called canonical form III as a possible unique representation of the system. We will show that by using this canonical form, the computational effort compared with other canonical forms can be reduced. Further, we will show that the pole-zero cancellation, which is one of the methods used in identifying the order of single input-single output systems, can be extended to the multivariate systems in canonical form III.