# 97-064/4 (1997-06-13)

Author(s)
Wolfgang Scherrer, Technische Universit├Ąt Wien; Christiaan Heij, Erasmus University Rotterdam
Keywords:
behaviour; linear system; system identification; least squares; factor models

The behavioural framework has several attractions to offer for the identification of multivariable systems. Some of the variables may be left unexplained without the need for a distinction between inputs and outputs; criteria for model quality are independent of the chosen parametrization; andbehaviours allow for a global (i.e., non-local) approximation of the system dynamics. This is illustrated with a behavioural least squares method with an application in dynamic factor analysis.