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On the identification of large multilinear systems

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Abstract

We consider multivariate time series which can be written as the output of a nonlinear system corrupted by noise. We propose an algorithm which allows to identify the structure of such a system and which generalizes a popular procedure for the identification of linear systems.

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Acknowledgment

We thank both referees for their detailed and constructive comments which led to a considerable improvement of the paper.

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Authors and Affiliations

  1. Department of Mathematics, University of Kaiserslautern, 67653, Kaiserslautern, Germany

    Jürgen Franke & Jochen Löhr

Authors
  1. Jürgen Franke
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  2. Jochen Löhr
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Correspondence to Jürgen Franke.

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Franke, J., Löhr, J. On the identification of large multilinear systems. Computational Statistics 21, 415–429 (2006). https://doi.org/10.1007/s00180-006-0003-2

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  • DOI: https://doi.org/10.1007/s00180-006-0003-2

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