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A note on transfer function model specification with noisy closed‐loop input data

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  • Johannes Ledolter

Abstract

We assume that the input in a transfer function noise model is determined by a proportional‐integral‐derivative controller that is subject to noise. We show how such a noisy feedback in the input series affects the standard Box–Jenkins method of specifying the transfer function model. Our findings have important implications for the analyst who uses the traditional Box–Jenkins approach. The analyst will be led to estimate an incorrect transfer function model if feedback (exact or noisy) is present. Copyright © 2009 John Wiley & Sons, Ltd.

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  • Johannes Ledolter, 2010. "A note on transfer function model specification with noisy closed‐loop input data," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(4), pages 473-480, July.
    • Handle: RePEc:wly:apsmbi:v:26:y:2010:i:4:p:473-480
    DOI: 10.1002/asmb.821
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