State realization with exogenous variables - A test on blast furnace data

Abstract In this study we present some preliminary evidence on state space modelling of the hot metal silicon content and temperature of pig iron using process data from an ironmaking blast furnace as a case study. The stationarity conditions of both the endogenous and exogenous vectors was studied by the augmented Dickey-Fuller test. The ADF test indicated that all processes are I(0). Significant Granger causality between the input and output processes is observed. Spectral analysis reveals that the trend and cyclical components common to both endogenous processes are concentrated at low frequencies. The input/output coherences reveal significant dependence at several frequencies. All these observations can be supported by practical experience.

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