PREFILTERING BASED ON WOLD'S DECOMPOSITION FOR LINEAR MIMO SYSTEM IDENTIFICATION

In this paper, we present a prefiltering method for linear multi-input multi-output (MIMO) system identification. It is assumed that the system representation is the combined system with deterministic system and stochastic system based on orthogonal decomposition of the output process. The stochastic component can be defined clearly by the orthogonal decomposition of the output process based on the conception of Wold's decomposition. Therefore, we consider removing the stochastic component front the output process. If the stochastic component can be removed completely, by employing deterministic subspace methods, the parametrization. problem included in the state-space model identification is completely bypassed. Also, if the stochastic component can be estimated precisely, this namely means a prefiltering for the system identification. For implementing this purpose, we employ LQ decomposition, also consider that the last block row of L-matrix is extracted. Also, the effectivities are shown in numerical experiments.