We give new simple general expressions for the asymptotic covariance of the estimated system parameters (A,B,C,D) in subspace identification. The formulas can be applied to a whole class of subspace methods including N4SID, MOESP, CVA, etc. The asymptotic expressions highlight how the conditioning of the estimation problem influences the accuracy of the estimates.

Asymptotic Variance of Subspace Estimates

CHIUSO, ALESSANDRO;PICCI, GIORGIO
2004

Abstract

We give new simple general expressions for the asymptotic covariance of the estimated system parameters (A,B,C,D) in subspace identification. The formulas can be applied to a whole class of subspace methods including N4SID, MOESP, CVA, etc. The asymptotic expressions highlight how the conditioning of the estimation problem influences the accuracy of the estimates.
File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11577/2434928
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 60
  • ???jsp.display-item.citation.isi??? ND
social impact