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Convergence properties of the generalised least squares identitication method

Söderström, Torsten (1974) In Automatica 10(6). p.617-626
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.
Please use this url to cite or link to this publication:
author
publishing date
type
Contribution to journal
publication status
published
subject
in
Automatica
volume
10
issue
6
pages
617 - 626
publisher
Elsevier
external identifiers
  • scopus:0016311779
ISSN
0005-1098
DOI
10.1016/0005-1098(74)90082-X
language
English
LU publication?
no
id
8072c61f-c6d8-49ac-985b-9cf3d1ff9230
date added to LUP
2018-12-10 10:48:20
date last changed
2025-10-14 10:41:44
@article{8072c61f-c6d8-49ac-985b-9cf3d1ff9230,
  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.}},
  author       = {{Söderström, Torsten}},
  issn         = {{0005-1098}},
  language     = {{eng}},
  number       = {{6}},
  pages        = {{617--626}},
  publisher    = {{Elsevier}},
  series       = {{Automatica}},
  title        = {{Convergence properties of the generalised least squares identitication method}},
  url          = {{http://dx.doi.org/10.1016/0005-1098(74)90082-X}},
  doi          = {{10.1016/0005-1098(74)90082-X}},
  volume       = {{10}},
  year         = {{1974}},
}