Abstract
Abstract A different procedure to model stochastic system using a balanced state space representation as base is presented. It involves singular value decomposition techniques, and yields an internally balanced representation which has attractive properties. It can be used for control, forecasting or other purposes. A method in two phases is used. In the first one, the stochastic system is modelled and the results are analized, if they are not good enough, a second phase of stochastic modelling is considered and the estimated residuals of the first model are taken as new inputs variables.
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