-

.,j

~~

COMMUN.STATIST.-THEOR. METH., 11(3),

297-314 (1982)

IDENTIFICATION OF MULTIPLE- INPUT

TRANSFER FUNCTION MODELS

Lon-Mu Liu*

Dominique

Department
of Biomathematics
University
of California
Los Angeles,
Calif~rnia
90024
Keywords
analysis;

and phrases:
least-squares

M. Hanssens

Grad'late
School
of Management
University
of California
Los Angeles,
California
90024

transfer
function.
JOOdel; time-seri;:;s
estimation;
filtering;
corner method.
ABSTRACT

This

paper

proposes

fication

(specification)

transfer

function

The corner
form

method

of the

simulated
outperforms

other

prewhitening

using

is

used to

then

is

identification

eering,

economics

popularity,
function

the

Now at
Illinois

not

is

rational

illustrated

in

model

is

areas

approach

techniques.

one of the most widely

of application
Yet

or specification

sufficiently

developed,

used

such as. enginin

spite

stage

of its
of transfer

in particular

models.

the Department
of Quantitative
at Chicago Circle,
Box 4348,

297
Copyright @ 1982 by Marcel Dekker, lnc

such as Box and Jenkins'

prewhitening

and management science.

is

a parsimonious

INTRODUCTION

in several

identification

analysis

multiple-input

function

models

series.

straightforward

double

identiof

or filtered

identify

methods

and Haugh and Box'

The transfer
time-series

function
estimates

The procedure

shown how this

1.

transfer

the original

function.
it

for

on least-squares

weights

transfer

example;

a procedure
based

Methods,
Chicago,

University
Illinois

of.
60680

for