Identification of multiple-input transfer function models

Abstract

This paper proposes a procedure for transfer function identification (specification) based on least-squares estimates of transfer function weights using the original or filtered series. The corner method is then used to identify a parsimonious rational form of the transfer function. The procedure is illustrated in a simulated example; it is shown how this straightforward approach outperforms other identification methods such as Box and Jenkins' prewhitening and Haugh and Box1 double prewhitening techniques.