Geodesic
Parametrical identification of linear dynamical system on the basis of stochastic difference equations
Matematičeskoe modelirovanie, Tome 20 (2008) no. 9, pp. 120-128 
V. E. Zoteev. Parametrical identification of linear dynamical system on the basis of stochastic difference equations. Matematičeskoe modelirovanie, Tome 20 (2008) no. 9, pp. 120-128. http://geodesic.mathdoc.fr/item/MM_2008_20_9_a9/
@article{MM_2008_20_9_a9,
     author = {V. E. Zoteev},
     title = {Parametrical identification of linear dynamical system on the basis of stochastic difference equations},
     journal = {Matemati\v{c}eskoe modelirovanie},
     pages = {120--128},
     year = {2008},
     volume = {20},
     number = {9},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MM_2008_20_9_a9/}
}
TY  - JOUR
AU  - V. E. Zoteev
TI  - Parametrical identification of linear dynamical system on the basis of stochastic difference equations
JO  - Matematičeskoe modelirovanie
PY  - 2008
SP  - 120
EP  - 128
VL  - 20
IS  - 9
UR  - http://geodesic.mathdoc.fr/item/MM_2008_20_9_a9/
LA  - ru
ID  - MM_2008_20_9_a9
ER  - 
%0 Journal Article
%A V. E. Zoteev
%T Parametrical identification of linear dynamical system on the basis of stochastic difference equations
%J Matematičeskoe modelirovanie
%D 2008
%P 120-128
%V 20
%N 9
%U http://geodesic.mathdoc.fr/item/MM_2008_20_9_a9/
%G ru
%F MM_2008_20_9_a9

Voir la notice de l'article provenant de la source Math-Net.Ru

The method of parametrical identification of linear dynamic system is considered. This method uses results of measurements of instantaneous values of systems' impulse characteristics. The method is based on iteration procedure for mean-square estimation of coefficients of linear parametric discrete model in the form of stochastic difference equations. Results of numerically-analytical investigations and analysis of comparison with known methods for elimination of estimators' bias leads to the conclusion that suggested computational algorithm is effective and highly noise proof.

[1] Eikkhoff P., Vanechek A., Savaragi E. i dr., Sovremennye metody identifikatsii sistem, ed. P. Eikkhoff, Mir, M., 1983, 400 pp. | MR

[2] Boks Dzh., Dzhenkins G., Analiz vremennykh ryadov. Prognoz i upravlenie, Vyp. 1, Mir, M., 1974, 406 pp. | MR

[3] Zoteev V. E., “Razrabotka i issledovanie lineinykh diskretnykh modelei kolebanii dissipativnykh sistem”, Vestn. Sam. gos. tekhn. un-ta. Ser. Fiz.-mat. nauki, 1999, no. 7, 170–177

[4] Radchenko V. P., Zoteev V. E., “Opredelenie dinamicheskikh kharakteristik mekhanicheskoi sistemy na osnove stokhasticheskikh raznostnykh uravnenii kolebanii”, Izvestiya VUZov. Mashinostroenie, 2007, no. 1, 3–10

[5] Kashyap R. L., Rao A. R., Postroenie dinamicheskikh stokhasticheskikh modelei po eksperimentalnym dannym, Nauka, M., 1983, 384 pp.

[6] Zoteev V. E., Popova D. N., “Opredelenie dinamicheskikh kharakteristik nelineinykh dissipativnykh sistem na osnove stokhasticheskogo raznostnogo uravneniya”, Vestn. Sam. gos. tekhn. un-ta. Ser. Fiz.-mat. nauki, 2006, no. 42, 162–168

[7] Tyrsin A.N., “Postroenie modelei avtoregressii vremennykh ryadov pri nalichii pomekh”, Matem. modelirovanie, 17:5 (2005), 10–16

[8] Zoteev V. E., “Sravnitelnyi analiz metodov opredeleniya dinamicheskikh kharakteristik dissipativnoi sistemy”, Vestn. Sam. gos. tekhn. un-ta. Ser. Fiz.-mat. nauki, 2006, no. 43, 153–158