Convergence properties of the generalised least squares identitication method

Torsten Söderström

Research output: Contribution to journalArticlepeer-review

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 languageEnglish
Pages (from-to)617-626
JournalAutomatica
Volume10
Issue number6
DOIs
Publication statusPublished - 1974
Externally publishedYes

Subject classification (UKÄ)

  • Control Engineering

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