Guidorzi, Roberto (Univ. of Bologna), Diversi, Roberto (Univ. of Bologna)

Determination of Linear Relations from Real Data in the Frisch Scheme Context

Scheduled for presentation during the Regular Session "Algebraic systems theory" (MoP12), Monday, July 24, 2006, 17:25−17:50, Room 104b

17th International Symposium on Mathematical Theory of Networks and Systems, July 24-28, 2006, Kyoto, Japan

This information is tentative and subject to change. Compiled on April 25, 2024

Abstract

Deriving linear relations from data affected by additive noise is a problem of high practical relevance in many fields. All available procedures are based on sets of assumptions concerning the noise process; the results obtained from their use depend, consequently, from the distance between the actual process and the specific assumptions. The Frisch scheme introduces less a priori assumptions than other commonly used methods like, for instance, Least Squares, but leads to a whole family of models compatible with a set of noisy data so that its use is impractical in most cases. This paper introduces a robust and consistent procedure to extract a single model from two independent sets of noisy data in the context of the Frisch scheme. This allows the use of this approach also in all practical cases requiring a single model to describe the process behind the data.