Estimation of Optimum Structures and Parameters for Linear Systems

The problem of determining a linear state space model for a stochastic process from measured output data contains, as an important part, the problem of choosing of a suitable structure for the model. A criterion is studied which measures the fit between the model and the data as well as the validity of a structure assumption. Hence the parameter and structure estimates can be obtained by minimization of a single criterion. The minimizing model is shown to converge to one with a correct structure and parameter values in this structure.