New formulas for the asymptotic variance of the parameter estimates in subspace identi,cation, show that the accuracy of the parameter estimates depends on certain indices of ‘near collinearity’ of the state and future input subspaces of the system to be identi,ed. This complements the numerical conditioning analysis of subspace methods presented in the companion paper (On the ill-conditioning of subspace identi,cation with inputs, Automatica, doi:10.1016/j.automatica.2003.11.009).
Numerical conditioning and asymptotic variance of subspace estimates
CHIUSO, ALESSANDRO;PICCI, GIORGIO
2004
Abstract
New formulas for the asymptotic variance of the parameter estimates in subspace identi,cation, show that the accuracy of the parameter estimates depends on certain indices of ‘near collinearity’ of the state and future input subspaces of the system to be identi,ed. This complements the numerical conditioning analysis of subspace methods presented in the companion paper (On the ill-conditioning of subspace identi,cation with inputs, Automatica, doi:10.1016/j.automatica.2003.11.009).
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