Abstract
Various methods for statistical system identification have been proposed. Among them, the Akaike's method by means of an autoregressive (AR) model is especially useful and practical due to its clear-cut theory and simple algorithm of computation. Based on the Akaike's one-shot identification method we develop a method of on-line recursive system identification for multidimensional systems. Since this algorithm includes the procedure of mean deletion, the stationary time series can directly be handled. By using this method, a method of identifying the order and the coefficients of a one-dimensional distributed-lag model is also shown where it is not necessary to estimate other known parameters. This method is applied to the estimation of the order and the coefficients in the water quality model with distributed-lag in a river.
