ON USE OF A LINEAR MODEL FOR IDENTIFICATION OF FEEDBACK SYSTEMS

A basic linear model of stationary stochastic processes is proposed for the analysis of linear feedback systems. The model suggests a simple computational procedure which gives estimates of the response characteristics of the system and the spectra of the noise source. These estimates are obtained through the estimate of the linear predictor of the process, which is obtained by the ordinary least squares method. The necessary assumption for the validity of the estimation procedure is so general that the procedure can be applied to the analysis of wide variety of practical systems with feedback. The content of the present paper forms an answer to the problem discussed by the author in a former paper [1]. © 1968 The Institute of Statistical Mathematics.