Time Delay: an alternative denition for optimal System Identication

Rodrigo Juliani Correa de Godoy, Vitor Alex Oliveira Alves and Claudio Garcia
AbstractThis paper extends the notion of time delay into
a threefold concept. Based on this renewed denition, a novel
strategy for time delay estimation (TDE) that leads to a model
with optimal t is presented. Its goal is to nd the best
time delay, so that a given model structure with a certain
order and adjusted for an identication dataset best represents
the true system. Such optimization strategy is said to be t-
driven, since it maximizes the t index. A brief review of
classical TDE techniques is presented and the problem of TDE
is further inspected from a system identication perspective.
Model quality (in the t sense) is measured and compared in
Monte Carlo simulations, using identied models with TDE
derived from both classical and the proposed techniques.
I. INTRODUCTION
The goal of system identication is to derive a model that
describes the dynamics of a process. The general polynomial
model structure employed in linear identication is [1]:
A(q)y(t) =
B(q)
F(q)
u(t) +
C(q)
D(q)
e(t). (1)
In (1) q is the forward shift operator, u(t) and y(t) are
the input and output signals, respectively, and e(t) is a white
noise signal. The polynomial B(q) is such that:
B(q) =
n
b
+n
k

i=n
k
+1
b
i
q
i
. (2)
In (2), n
k
is the time delay used to x the rst coefcients
to zero. It is important to stress that the n
k
parameter does
not correspond exactly to the true system time delay. It is
merely a vehicle to obtain a reliable model, emulating the
effect of the time delay in the dynamics from u(t) to y(t).
In fact, there are three different types of time delay. The
rst one is the process time delay,
d
. A denition of
d
can be stated as the time interval between a change in
the input signal u(t) and the correspondent output response
y(t). The second interpretation concerns the most suitable
time delay, n
k0
, assigned to a given model structure-order
so that such model best represents the process dynamics. As
will be shown, the choice of n
k0
is structure-order dependent
and its value can differ from
d
, since the real structure and
order are not known. The third type is related to n

k
, the value
of n
k
that gives the best model quality for an identication
Research project sponsored and nancially supported by Petrobras SA
under process 0050.0058968.10.9/2010.
R. Juliani C. G. and C. Garcia are with Dept. of Telecommunications and
Control Engineering, Polytechnic School of the University of S ao Paulo,
Av. Prof. Luciano Gualberto, 158, trav. 3, Butant a, S ao Paulo, SP, Brazil.
rodrigo.juliani@usp.br, clgarcia@lac.usp.br
V. A. O. Alves is with Mau a School of Engineering of the Mau a Institute
of Technology IMT, Praca Mau a 01, S ao Caetano do Sul, SP, Brazil.
vitoralex.alves@maua.br
procedure. Its choice is also structure-order dependent. One
can not assume to nd the best value for n
k
by determining
the true time delay. On the contrary, the best n
k
depends not
only on the objective function employed in the optimization,
but also on the selected model structure-order and also on the
parameter estimation algorithm applied to the identication
procedure for a given dataset see Section III.
Estimation algorithms require larger informative datasets
as the number of parameters to be estimated increases. So,
considering that the datasets for system identication are
usually small, reducing the number of free parameters in
the procedure will result in a quality improvement in the
coefcient estimation. An example will show that n
k
and n
b
can be adjusted to reduce the number of parameters to be
estimated and improve the model quality see Section III.
In the described scenario, this paper analyses the inuence
of n
k
in the identication and its relation to the true system
time delay
d
and also to the best theoretical time delay
value n
k0
(for a given structure). A technique to nd the
optimal value n

k
is presented. Examples addressing these
issues and the application of the proposed approach are
exhibited. Comparisons between often used TDE techniques
and the proposed strategy are also drawn.
This paper is organized as follows. Section II presents
some techniques to estimate the time delay. Two of them aim
to nd
d
, another tries to determine n

k
by exhaustive search
on a relative small set. In Section III the inuence of n
k
in
the identication procedure is inspected. An optimization ap-
proach for choosing n

k
based on the t index [2] is proposed
in Section IV. Section V shows application examples and
also performance comparison analysis using Monte Carlo
simulations. The conclusions are drawn in Section VI.
II. TIME DELAY ESTIMATION METHODS
There are several methods to estimate the time delay, such
as [3], [4], [5], [6] and [7], which focus on the identication
of the process time delay
d
. In his work, Bj orklund [4] is
concerned with the estimation of
d
in
y(t) = G(p)u(t) + v(t) = G
r
(p)u(t
d
) + v(t), (3)
in which G
r
(p) is a time-invariant linear system without time
delay, p is the derivative operator and v(t) is white noise.
Several techniques were analyzed and a few more pro-
posed in [4]. The brief review of subsections II-A and II-
B refers to a class of time delay approximation methods
discussed in [4], known as time domain approximation
methods. Subsection II-C discuss the use of the MATLAB

routine delayest in the estimation of an adequate n

k
.
A. Impulse Response and Cumulative Sum (CUSUM)
The time delay is the time needed for the impulse response
to start [4]. The Cumulative Sum (CUSUM) method [8] aims
at detecting the start of such response. It requires an estimate
g(t) of the impulse response g(t). Here, g(t) is generated
by a FIR model y(t) = B(q)u(t). The parameter vector

contains the coefcients of B(q) and its estimate is [1]

1
N

t
(t)
T
(t)

1
N

t
(t)y(t)

, (4)
with (t) = [u(t), u(t 1), ...]. This is essentially the same
as the cross-correlation analysis [1], provided that u(t) is
white. In this scenario,

= [ g
0
g
1
]
T
.
However, in system identication, u(t) is not a white
signal. Typical excitation signals (pseudo-random binary
sequences (PRBS) and generalized binary noise (GBN)), can
be designed to present quasi-white features. Hence, the FIR
approach can be used under such conditions [9]. (4) is solved
by MATLAB impulseest, that denes a suitable length for .
Fig. 1 shows the structure of TDE in the time domain [4].
The rst step is the estimation of g(t). Then, averaging is
done to reduce the noise, resulting in the test statistics g
ts
(t),
which is thresholded to detect the start of g(t). Finally, the
time delay estimate
d
derived from CUSUM is the estimate
of the change time

k of g(t), see Table I. There are two user-
selected parameters: the drift (t) and the threshold h(t).
The values adopted are (t) = = g
std
(0) and h(t) = h =
3 g
std
(0) [4], std denotes the standard deviation of g(0).
y t
Impulse response
estimation
u t
Averaging

g t
Threshold

ts
g t
d
t
Input output data Test statistics
Time-delay
estimation
Fig. 1. Steps in time delay estimation in the time domain.
TABLE I
CUSUM ALGORITHM [4]:
d
=

k.
Design parameters: Drift (t) and threshold h(t).
Output: Detection time ta and the estimate of the change time

k.
Input: Impulse response estimate g(t).
Internal variable: Test statistics gts(t).
1. t = 0, gts(1) = 0
2. gts(t) = gts(t 1) + g(t) (t)
3. If gts(t) < 0 then gts(t) = 0,

k = t
4. If gts(t) > h(t) > 0 then ta = t, go to 6
5. t = t + 1, go to 2
6. The detection time is ta and the estimate of the change time is

k
B. Separating Time Delay from Dynamics
This subsection describes a technique that separates the
time delay from the dynamics of the system [4], as seen
in (3). The method requires the impulse response g(t) =
g
r
(t) (t
d
). The Fourier transform of g(t) is G(j) =
G
r
(j) e
j
d
and its real part is given by:
G
fr
(j) = A
fr
(j)cos(
d
+ (j)), (5)
A
fr
(j) =

[Re{G
r
(j)}]
2
+ [Im{G
r
(j)}]
2
, (6)
(j) = arctg

Im{G
r
(j)}
Re{G
r
(j)}

. (7)
As in (5), G
fr
(j) depends on A
fr
(j), which is mod-
ulated by a sinusoid with frequency
d
and phase shift
(j) [4]. One way to estimate such frequency is to
analyse the spectrum of G
fr
(j) and look for peaks at
frequency
d
(the time delay). Typically, G
fr
(j) presents
oscillations with small amplitudes. To increase such oscil-
lations, the logarithm of |G
fr
(j)| is taken [4] before the
estimation of its spectrum. Then, one needs to look for
peaks at frequency 2
d
. If u(t) is not white and especially
when it is oscillatory (i.e. there are dominating frequencies),
then g(t) will have several local maxima [10], [11].
C. MATLAB

delayest
The delayest estimates n
k
, in a certain range by exhaustive
search, that minimizes the loss function [1] of an ARX
model A(q)y(t) = B(q)u(t) + e(t) with a xed number of
parameters in A(q) and B(q), chosen by the user. Its major
drawbacks are: i) only ARX model structures are employed;
and ii) exhaustive search results in large computational time.
III. TIME DELAY IN SYSTEM IDENTIFICATION
This section addresses how n
k
affects the identication
results. This is done through examples in which it is observed
how the model performance, in terms of the t index [2],
varies with the employed n
k
. The t index is dened by
FIT = 100

1
y y
y y

(%), (8)
where y is the vector of measured outputs, y is the vector
of the predicted outputs and y is the mean value of y. Here,
this index is called noisy t [12], [13]. To obtain a theoretical
index that indicates how well the prediction ts the nominal
system behavior, (8) is used with y free of noise (a clean
signal), generating the so called noise-free t, which is used
in the presented examples. In fact, the noisy t measures
how well y ts the acquired data, whereas the noise-free t
indicates how well the model ts the nominal dynamics.
The process model employed throughout this work is:
G(s) =
5 (s 0.2)
(10s + 1) (5s + 1)
e
10s
. (9)
The discrete form of (9), employing a zero order hold with
unitary sampling time is given by:
G(z) =
0.07705 z
11
+ 0.0943 z
12
1 1.724 z
1
+ 0.7408 z
2
. (10)
In all tests it was applied a PRBS signal to the model
(9) and acquiring 1000 points (600 for identication and
the complete set for validation). White noise was added to
the system output, thus characterizing (10) as an OE model
structure with order [n
b
n
f
]
T
= [2 2]
T
and
d
= 11.
Example 1 derives ARX models with correct order and
different n
k
under distinct SNR (Signal-to-Noise Ratio)
scenarios. Example 2 is similar, but with xed SNR and a
incorrect model order. Example 3 presents how the change
of the model structure inuences the effect of n
k
. Example
4 shows how the use of n
k
as the number of null elements
in B(q) affects the model performance.
Example 1: An ARX structure with [n
a
n
b
]
T
= [2 2]
T
is used, n
k
varying from 0 to 50. The noise-free t index is
calculated for k-step ahead predictions, k = [1, , 50, ].
The results for SNR (dened in terms of variance) , 30
and 3 are shown in Figures 2 to 4.
An inspection of these gures shows that the model
performance, in terms of the noise-free t index, greatly
varies with n
k
. This alone justies the search for its best
possible value. It can also be observed that n

k
, the optimal
n
k
based on the t index, can differ from n
k0
(obtained
by a step response analysis), which in this case was found
to be equal to
d
. It emphasizes the relevance of nding
n

k
for each dataset. Table II conrms it for an innite
step-ahead prediction. This prediction horizon was selected
since it presents the strongest inuence of n
k
, once only the
process model (which is directly affected by n
k
) is used in
the prediction.
TABLE II
NOISE-FREE FIT VALUES FOR DIFFERENT SNR.
SNR SNR 30 SNR 3
n
k
n
k
0
n

k
n
k
0
n

k
n
k
0
n

k
11 11 11 18 11 25
FIT (%) 100 100 78.4 87.9 43.2 71.8
Example 2: It is adopted an incorrect order [n
a
n
b
]
T
=
[1 1]
T
for (10). In this case, n
k0
= 18 is the value that
best approximates the process step response. Using the same
datasets from Example 1, ARX models with the adopted
order and n
k
varying from 0 to 50 were identied. Fig.
5 shows the noise-free t values for SNR 30. Comparing
Figures 3 and 5 it can be seen that a mismatch in the order
selection worsens the model performance, as expected. The
Fig. 2. ARX [2 2]
T
- Noise-free t values for ID test under SNR .
Fig. 3. ARX [2 2]
T
- Noise-free t values for ID test under SNR 30.
Fig. 4. ARX [2 2]
T
- Noise-free t values for ID test under SNR 3.
previously observed n
k
inuence remains. In conclusion, n

k
depends on the dataset, on the SNR and also on the model
order. These statements are summarized in Table III, in which
it is considered innite step-ahead predictions.
TABLE III
NOISE-FREE FIT VALUES FOR DIFFERENT MODEL ORDERS.
[na n
b
]
T
[1 1]
T
[2 2]
T
n
k
n
k
0
n

k
n
k
0
n

k
18 22 11 18
FIT (%) 75.6 77.7 78.4 87.9
It can be seen that, with the same dataset employed in
Example 1, n

k
differs for distinct model orders. In fact, the
adopted incorrect order (lower than the real one) provides
a worse noise-free t compared to the one achieved with
correct order. Also, n

k
= n
k0
is once again observed.
Example 3: An OE model structure with [n
b
n
f
]
T
=
[2 2]
T
is now used, matching that of (10). The identication
is analogous to the previous ones, with SNR 30 and 3. Fig. 6
shows the noise-free t values for each identied model with
SNR 3. Since the OE structure does not have a disturbance
model, its predictions are the same for any horizon.
Even with correct structure and order, the choice of n
k
affects the model performance. Therefore, n

k
is dependent
on the dataset, the SNR, the model order and the structure.
Table IV reveals that when structure and order are correct, it
is expected that n

k
= n
k0
, but even so, the SNR affects the
t index. Another relevant fact is the increase in the optimal
t value, which is higher when the correct structure is used.
TABLE IV
NOISE-FREE FIT VALUES FOR DIFFERENT MODEL STRUCTURES.
ARX OE
SNR 30 SNR 3 SNR 30 SNR 3
n
k
n
k
0
n

k
n
k
0
n

k
n
k
0
n

k
n
k
0
n

k
11 18 11 25 11 11 11 11
FIT(%) 78.4 87.9 43.2 71.8 99.1 99.1 97.3 97.3
Fig. 5. ARX [1 1]
T
- Noise-free t values for ID test under SNR 30.
Fig. 6. OE [2 2]
T
- Noise-free t values for ID test under SNR 3.
Example 4: Now, the correct structure (OE) is used with
[13 2]
T
, since n
b0
+ n
k0
= 2 + 11 = 13. Hence, B(q) has
always 13 coefcients, but its rst n
k
terms are null. The goal
is to observe the effect of using n
k
to decrease the number
of free parameters in B(q). Fig. 7 shows the noise-free t
achieved under SNR 30 with 600 points and under SNR 3
with 600, 450 and 150 points in the dataset. Zeroing the rst
coefcients of B(q) and thus reducing the number of free
parameters to estimate, can improve the model performance,
as previously mentioned. Another relevant issue is that even
in a scenario with small datasets and low SNR, there is a
model that achieves a t of 89%. This effect is due to the
well known curse of dimensionality.
Fig. 7. Zeroing the rst n
k
coefcients of B(q).
IV. FINDING n

k
The main goal of this paper is to nd what is the best n
k
in the model structure dened by (1) and (2). Examples 1
to 4 revealed the great importance of n
k
, its dependence on
the identication scenario and its effects in the model perfor-
mance. Next, an optimization problem that deals with such
goal is formally postulated in subsection IV-A and a solution
based on genetic algorithms is proposed in subsection IV-B.
A. Optimal Time Delay Estimation Problem
The search for n

k
related to the structure (1)-(2) can be
formally stated as an optimization problem expressed by
max
n
k
FIT( y, y
val
), (11)
subject to:
y = predict(Model, Data
val
, k) (12)
Model = estimation(Data
ident
, Order, n
k
) (13)
Order = [n
a
n
b
n
c
n
d
n
f
]
T
(14)
In (11) the objective function FIT( y, y
val
) is dened as
in (8), replacing y by y
val
(val denotes a cross-validation
dataset). Constraint (12) is the k-step ahead prediction [1]
with the validation dataset and (13) nds a model with a
chosen structure and order for a given dataset. The optimiza-
tion variable n
k
is found so that (11) is obtained. Constraint
(14) denes the order of A(q), B(q), C(q), D(q) and F(q).
It is important to stress that the obtained n

k
must provide
a t index close to its global optimal, but it is irrelevant if
the identied model time delay is close to its true value
d
.
B. Optimization Problem Solution
To optimize (11), subject to (12)-(14), a genetic algorithm
available in MATLAB

was chosen. The algorithm works

as follows. The initial population of individuals is chosen
and the tness (in this case, the noisy-t index) of each
individual is evaluated. For the current generation: i) the
best-t individuals are selected for reproduction; ii) new
individuals are produced through mutations; iii) the tness
of these new individuals is evaluated; and iv) the least-
t individuals are replaced by these new individuals. The
procedure is repeated until the determined stop criterion is
reached. Details can be found in [14], [15] and [16].
V. APPLICATION AND COMPARISONS
The classical methods are compared to the proposed
strategy. Exhaustive search is performed to check the efcacy
of each technique. A Monte Carlo test with 100 realizations
is done and in each one: i) the process (9) is driven by a 1500
points unitary amplitude PRBS signal (1000 points corrupted
by noise are used for identication and a clean version
of the complete set for validation); ii) three different SNR
scenarios are provided: , 30 and 3; iii) the noise is white,
with variance adjusted to give the desired SNR; iv) both
PRBS and white-noise signals have different realizations
for each iteration; v) the n
k
value is found by: exhaustive
search (n

k
); CUSUM; frequency domain (Freq-Domain);
MATLAB

delayest and by the proposed strategy with

model structures ARX [2 2]
T
, ARX [1 1]
T
and OE [1 1]
T
;
and vi) the noise-free t index is calculated in each case.
Figures 8 to 10 show the results of the exhaustive search
for n

k
, in which the black bars correspond to SNR , the
gray ones to SNR 30 and the light ones to SNR 3. The results
corroborate the discussions of Examples 1 to 3. The best
achievable t highly depends on the adopted model structure,
the SNR and the given dataset. Also, the variance for n

k
and
its respective t index increases as the SNR decreases.
Fig. 8. ARX [2 2]
T
- Histogram noise-free tn
k
: exhaustive search.
Fig. 9. ARX [1 1]
T
- Histogram noise-free tn
k
: exhaustive search.
Fig. 10. OE [2 2]
T
- Histogram noise-free tn
k
: exhaustive search.
The n
k
values found by classical methods and the respec-
tive noise-free t index for structure ARX [2 2]
T
are depicted
in Figures 11 to 13. The model structure only impacts the
performance index, since the search for n
k
is data-driven.
The CUSUM method provides poor results for SNR 3, in-
dicating the high inuence of SNR in this method. However,
it provides good results for higher SNR scenarios, although
there is a signicant dispersion in the n
k
values.
For the Freq-Domain method, there is no dispersion of n
k
for the SNR . But when the SNR decreases, the time delays
derived by this method are very scattered. In particular, for
SNR 30, the performance indices achieved by the Freq-
Domain method are inferior to those obtained by CUSUM.
The delayest method outperforms the Freq-Domain. The
variance of its estimation is lower and the noise-free t values
are higher. For SNR , the results are identical to those of
Freq-Domain. The use of structure ARX [2 2]
T
allows to
compare Figures 8, 11, 12 and 13. One can see that the
delayest is the method that best estimates the optimal values
of Fig. 8. Table V summarizes these statements.
The results for the proposed technique are shown in Fig-
ures 14 to 16. It can be noted that it provides smaller variance
than the classical methods, which indicates its reliability.
Table V presents the mean and variance of the estimation
deviations in both n
k
and noise-free t values. Such deviation
is dened as the difference between the optimal n

k
and
FIT

(n
k
) mean values, obtained by exhaustive search in a
Monte Carlo test, and the respective estimated mean values.
One can see that CUSUM provides the worst performance
for SNR and 3. In fact, in such cases all mean values of
n
k
estimation errors (obtained over the 100 simulations for
each SNR) are negative. This reveals that CUSUM tends to
Fig. 11. ARX [2 2]
T
- Histogram noise-free tn
k
: CUSUM method.
Fig. 12. ARX [2 2]
T
- Histogram noise-free tn
k
: Freq-Domain method.
Fig. 13. ARX [2 2]
T
- Histogram noise-free tn
k
: delayest method.
overestimate the time delay. Evidently, its performance can
be improved by applying a trial and error strategy for tuning
the drift and threshold parameters.
The Freq-Domain method tends to nd the value of the
real time delay
d
in (3). Hence, when n

k
=
d
, what occurs
for ARX [2 2]
T
and OE [2 2]
T
under SNR , its use resulted
in zero mean and variance estimation errors. However, when
that is not the case, it provides poor performance (high mean
and variance estimation errors) for all the other situations.
The MATLAB

delayest employs an ARX structure and

performs well only when the real structure is ARX and
the selected order for delayest matches the one used in the
identication. Therefore, if the model order and structure
differ from the one congured in delayest, it performs poorly.
In particular, the performance obtained using OE [2 2]
T
for
SNR is optimal, since in this case OE and ARX are
equivalent, matching the process structure and order.
Table V also reveals that the optimization strategy provides
the best results for most cases. This can be seen in the
mean and variance columns of the t index estimation error.
The lower mean and variance indicate the reliability of the
method. It is important to stress that the n
k
value derived
from the optimization is a vehicle to maximize the t index
and not the nal objective of the procedure. In other words,
the n
k
value should provide a t index close to the global
optimal, but does not necessarily equal the true value
d
.
VI. CONCLUSIONS
This paper dealt with the problem of TDE in system
identication. The concept of time delay is threefold:
d
is
Fig. 14. ARX [2 2]
T
- Histogram noise-free tn
k
: Optimization.
Fig. 15. ARX [1 1]
T
- Histogram noise-free tn
k
: Optimization.
Fig. 16. OE [2 2]
T
- Histogram noise-free tn
k
: Optimization.
TABLE V
n
k
AND NOISE-FREE FIT ESTIMATION DEVIATIONS.
SNR Scenario Identied Model Structure Estimation Technique
Deviation in n
k
Deviation in FIT(n
k
)
Mean Variance Mean Variance
SNR
ARX [2 2]
T
, n

k
= 11.00, FIT

= 100.0%
CUSUM 2.90 1.00 13.98 10.43
Freq-Domain 0 0 0 0
delayest 0 0 0 0
Optimization 0.60 3.27 0.67 3.27
ARX [1 1]
T
, n

k
= 18.10, FIT

= 91.56%
CUSUM 2.90 1.27 14.05 47.74
Freq-Domain 7.10 0.09 31.24 31.72
delayest 7.10 0.09 31.24 31.72
Optimization 0.01 0.01 0.07 0.01
OE [2 2]
T
, n

k
= 11.00, FIT

= 100.0%
CUSUM 2.90 1.00 5.41 1.12
Freq-Domain 0 0 0 0
delayest 0 0 0 0
Optimization 0 0 0 0
SNR 30
ARX [2 2]
T
, n

k
= 19.17, FIT

= 87.31%
CUSUM 1.01 52.41 11.81 283.17
Freq-Domain 10.85 24.13 25.24 135.10
delayest 1.20 2.34 9.92 1.55
Optimization 7.51 4.52 9.93 4.52
ARX [1 1]
T
, n

k
= 22.43, FIT

= 77.38%
CUSUM 2.25 50.25 9.37 123.88
Freq-Domain 14.11 22.83 25.93 109.38
delayest 4.46 2.37 9.07 3.60
Optimization 4.25 1.70 3.32 1.70
OE [2 2]
T
, n

k
= 10.99, FIT

= 98.68%
CUSUM 9.19 52.52 20.21 182.20
Freq-Domain 2.67 23.74 34.64 6, 684.1
delayest 6.98 1.94 17.82 0.59
Optimization 0.01 0.13 6.77 0.13
SNR 3
ARX [2 2]
T
, n

k
= 24.95, FIT

= 70.77%
CUSUM 43.24 86.39 70.39 72.96
Freq-Domain 16.85 20.15 46.85 63.84
delayest 0.46 2.33 26.64 3.04
Optimization 13.6 2.36 26.94 2.36
ARX [1 1]
T
, n

k
= 26.19, FIT

= 67.22%
CUSUM 42.00 85.35 66.75 59.88
Freq-Domain 18.09 20.43 53.00 71.74
delayest 0.78 2.17 24.71 4.11
Optimization 7.76 0.45 16.81 0.45
OE [2 2]
T
, n

k
= 10.94, FIT

= 96.23%
CUSUM 57.25 83.04 93.04 124.49
Freq-Domain 2.84 21.02 51.05 416.50
delayest 14.47 2.45 49.03 3.68
Optimization 0.29 1.20 4.04 1.20
the true process time delay; n
k0
is the most suitable time
delay for a given model structure that best describes the
process dynamics; n

k
is the time delay that provides the
best results (in some sense) for an identication procedure.
The presented examples show that n
k0
is not always equal
to n

k
. In fact, the latter depends on the dataset, the SNR
under which such data were acquired and the adopted model
structure and order. It was also shown that n
k
can be used to
reduce the number of free parameters to be estimated, which
can greatly enhance the model performance, specially with
small datasets. Hence, it is imperative to determine n
k
such
that the model performance (in this paper measured by the
t index) is maximized. However, an exhaustive search can
be time consuming (specially with MIMO systems). To solve
that, an optimization strategy was proposed.
In order to test the optimization validity, a Monte Carlo
simulation with 100 realizations was designed with different
SNR, model structure and order scenarios. Classical time
delay estimation techniques (CUSUM, frequency domain and
delayest) were reviewed and applied to these cases. The tests
revealed that classical approaches do not always give good
results, while the proposed strategy is much more reliable.
Future work involves the study of time delay estimation in
closed-loop operation, MIMO systems and also a combined
strategy for time delay estimation along with the model order.
ACKNOWLEDGMENTS
Authors thank the support provided by Center of Excel-
lence for Industrial Automation Technology (CETAI) and
Research Center (CENPES) of Petrobras. V.A.O. Alves also
thanks the Mau a Institute of Technology - IMT.
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