User`s guide

Identifying State-Space Models
Identifying State-Space Models
In this section...
“What Are State-Space M odels?” on page 3-73
“Data Supported by State-Space Models” on page 3-77
“Supported State-Space Parameterizations” on p a ge 3-78
“Preliminary Step – Estim ating State-Space Model O rders” on page 3-79
“How to Estim ate State-Space Models in the G UI” on page 3-84
“How to Estimate State-Space Models at the Comman d Line” on page 3-87
“How to E stimate Free-Parameterization State-Space Models” on page 3-90
“How to Estimate State-Space Models with Canonica l Parameteriza ti on ”
on page 3-91
“How to Estimate State-Space M odels with Structured Parameterization”
on page 3-93
“How to Estimate the State-Space Equivalent of ARMA X and OE Models”
on pag e 3-100
“Options for Frequency-Weighing Focus” on page 3-100
“Options for Initial States” on page 3-101
“Algorithms for Estimating State-Space Models” on page 3-101
What Are State-Space Models?
• “Defin ition of State -Sp ace Models” on page 3-74
• “Continuous-Time Representation” on page 3-74
• “Dis crete- Time Rep resen t a tion” on page 3- 7 5
• “Relationship Between Continuous-Time and Discrete-Time State
Matrices” on page 3-75
• “State-Space Representation of Transfer Functions” on page 3-76
3-73