Identification

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.,j

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COMMUN.STATIST.-THEOR. METH., 11(3),

297-314 (1982)

IDENTIFICATION OF MULTIPLE- INPUT TRANSFER FUNCTION MODELS

Lon-Mu Liu*

Dominique

Department of Biomathematics University of California Los Angeles, Calif~rnia 90024 Keywords analysis;

and phrases: least-squares

M. Hanssens

Grad'late School of Management University of California Los Angeles, California 90024

transfer function. JOOdel; time-seri;:;s estimation; filtering; corner method. ABSTRACT

This

paper

proposes

fication

(specification)

transfer

function

The corner form

method

of the

simulated outperforms

other

prewhitening

using

is

used to

then

is

identification

eering,

economics

popularity, function

the

Now at Illinois

not

is

rational

illustrated

in

model

is

areas

approach

techniques.

one of the most widely of application Yet

or specification

sufficiently

developed,

used

such as. enginin

spite

stage

of its of transfer

in particular

models.

the Department of Quantitative at Chicago Circle, Box 4348,

297 Copyright @ 1982 by Marcel Dekker, lnc

a

such as Box and Jenkins'

prewhitening

and management science.

is

a parsimonious

INTRODUCTION

in several

identification

analysis

multiple-input

*

function

models

series.

straightforward

double

identiof

or filtered

identify

methods

and Haugh and Box'

The transfer time-series

function estimates

The procedure

shown how this

1.

transfer

the original

function. it

for

on least-squares

weights

transfer

example;

a procedure based

Methods, Chicago,

University Illinois

of. 60680

for

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