User`s guide

3 Linear Model Identification
Algorithm for Correlation Analysis
To better understand the algorithm underlying correlation analysis, consider
the following description of a dynamic system:
yt Gqut vt() ( ) () ()=+
where u(t) and y(t) are the input and output signals, respectively. v(t) is the
additive noise term. G(q) is the transfer function of the system. The G(q)u(t)
notation represents the following operation:
Gqut gkut k
k
()() ()( )=−
=
∞
∑
1
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