A SOLUTION TO THE PROBLEM OF CONSTRUCTING A STATE-SPACE MODEL FROM TIME-SERIES

The problem of constructing minimal realizations from arbitrary input output time series which are only covariance stationary (not necessarily stationary) is considered. An algorithm which solves this problem for a fairly nonrestrictive class of exogenous (input) signals is presented. The algorithm is based upon modeling nonzero exogenous signals by linear models and including these in the total system model.