Abstract
Convergence properties of the generalized least squares method are analyzed. The method can be interpreted as optimization of a likelihood function. The number of local maximum points of the likelihood function is examined. It is shown that this number is influenced by the signal to noise ratio. This theoretical result is illustrated by numerical examples using plant measurements. It is also proved that the method gives consistent estimates under suitable conditions.
Original language | English |
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Pages (from-to) | 617-626 |
Journal | Automatica |
Volume | 10 |
Issue number | 6 |
DOIs | |
Publication status | Published - 1974 |
Externally published | Yes |
Subject classification (UKÄ)
- Control Engineering