Behavioral approximation of stochastic processes by rank reduced spectra

Christiaan Heij*, Wolfgang Scherrer

*Corresponding author for this work

Research output: Contribution to journalArticleProfessionalpeer-review


Behaviours provide an elegant, parameter free characterization of deterministic systems. We discuss a possible application of behaviours in the approximation of stochastic systems. This can be seen as an extension to the dynamic case of the well-known static factor analysis model. An essential difference is that we see modelling primarily as a matter of process approximation, not as a method to recover the true data generating process. In particular we see 'noise properties' as a kind of prior model assumption that can be compared with the resulting quality of the process approximation.

Original languageEnglish
JournalProceedings of the IEEE Conference on Decision and Control
Publication statusPublished - 1996
Externally publishedYes
EventProceedings of the 1996 35th IEEE Conference on Decision and Control. Part 3 (of 4) - Kobe, Jpn
Duration: 11 Dec 199613 Dec 1996


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