6Model Complexity Selection
6.1 Introduction
In black box identification, one of the main problems is choosing the appropriate complexity of the model. This stimulating issue has been studied by scholars of various disciplines, including statisticians, computer scientists, control engineers, and many others. The essential terms of the problem can be outlined as follows. The basic identification criterion adopted so far is
where 
is the number of data, 
is the parameter vector, and 
the prediction error at time 
of the considered model 
. 
provides an index of fit of 
to data. Hence, if 
is the ...
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