State-space approximation of multi-input multi-output systems with stochastic exogenous inputs

AbstractInstead of the usual AR(MA)X- or VAR (vector autoregressive) modelling, procedures will be described to obtain approximate balanced state-space models and steady-state Kalman filters with prewhitened inputs. These state-space models and Kalman filters can be used for prediction and also for control whenever the output and input variables are target and control variables respectively