Abstract:A new, direct and practical scheme is proposed for determining the model orders of a system, its signal and disturbance using key properties of Kalman filter (KF). Unlike conventional methods, it enjoys the unique property of being both necessary and sufficient. The system is described by the Box–Jenkins model, whose accessible input and output are corrupted by unknown zero‐mean white Gaussian‐distributed disturbances and measurement noise. The signal and disturbance are outputs of asymptotically‐stable linear… Show more
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