Abstract
In this paper, we propose a prefiltering method for closed-loop MIMO system identification in the framework of joint input-output approach. The purpose of proposed prefiltering method is to eliminate the noise process from the joint input-output process more precisely, and can be achieved by using the orthogonal decomposition of the joint input-output process based on Wold’s decomposition. In our method, LQ decomposition and causal FIR model are used. Especially, the latter plays a key role to eliminate the noise process more precisely. In numerical experiments, the efficacy of the proposed method is verified by comparing some identification methods.
