Canonical Variate Analysis

In Section 4.7, it was shown how DPCA can be applied to develop an autoregressive with input ARX model and to monitor the process using the ARX model. The weakness of this approach is the inflexibility of the ARX model for representing linear dynamical systems. For instance, a low order autoregressive moving average ARMA (or autoregressive moving average with input ARMAX) model with relatively few estimated parameters can accurately represent a high order ARX model containing a large number of parameters [199].