Abstract
This contribution describes a common family of estimation methods for system identification, viz,prediction-error methods. The basic ideas behind these methods are described. An overview of typical model structures to which they can be applied is also given, as well as the most fundamental asymptotic properties of the resulting estimates.
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Ljung, L. Prediction error estimation methods. Circuits Systems and Signal Process 21, 11–21 (2002). https://doi.org/10.1007/BF01211648
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DOI: https://doi.org/10.1007/BF01211648