system model

Let t=1,2, denote discrete time instants. By a system model we mean a mathematical model defined by a conditional probabilityMathworldPlanetmath density function f(yt|ut,d(t-1)) where


is the system output in time t,


is the system input and


denotes the sequence of data d0,,dt-1 where dt=(ut,yt).

Such a system has time-invariant (constant) parameters. If the model parameters are unknown (uncertain, variable), we introduce the definition in the form f(yt|ut,d(t-1),θ). Here, θ is a (possibly multi-dimensional) parameter.


  • 1 Peterka, V., Bayesian Approach to System Identification, in Trends and Progress in System Identification, P. Ekhoff, Ed., pp. 239-304. Pergamon Press, Oxford, 1981
Title system model
Canonical name SystemModel
Date of creation 2013-03-22 18:33:34
Last modified on 2013-03-22 18:33:34
Owner camillio (22337)
Last modified by camillio (22337)
Numerical id 6
Author camillio (22337)
Entry type Definition
Classification msc 93E03