Optimal Deterministic Transfer Function Modelling in the Presence of Serially Correlated Noise

This article addresses the development of predictive transfer function models for nonlinear dynamic processes under serially correlated model error. This work is presented in the context of the block-oriented exact solution technique (BEST) for multiple input, multiple output (MIMO) processes proposed by Bhandari and Rollins (2003) for continuous-time modelling and Rollins and Bhandari (2004) for constrained discrete-time modelling. This work proposes a model building methodology that is able to separately determine the steady state, dynamic and noise model structures. It includes a pre-whitening procedure that is affective for the general class of discrete ARMA(p, q) noise (Box and Jenkins, 1976). The proposed method is demonstrated using a simulated physical system and a real physical system.