System Identification: Theory for the User, 2nd Edition

8. Convergence and Consistency

8.1 Introduction

In Chapter 7 we described a number of different methods to determine models from data. To use these methods in practice, we need insight into their properties: How well will the identified model describe the actual system? Are some identification methods better than others? How should the design variables associated with a certain method be chosen?

Such questions relate, from a formal point of view, to the mapping (7.7) from the data set Z^N to the parameter estimate :

(8.1)

Questions about properties ...