Order estimation for subspace methods
The author proposes three methods for order estimation in the context of subspace methods. Two of them, both in the cases with observed inputs and without exogenous inputs, are based on the information contained in the estimated singular values (SV) and lower bounds on the (subjective) penalty term in order for the estimates to be (strongly) consistent. The third uses the innovation variance, and it is shown to suffer from severe theoretical disadvantages. The first two can be applied with almost no computational costs to Larimore type and MOESP type procedures, whereas the third is only applied to Larimore type algorithms. Numerical examples and simulation studies illustrate the obtained results.
- Estimating the system order by subspace methods
- Consistency and relative efficiency of subspace methods
- Subspace model identification Part 1. The output-error state-space model identification class of algorithms
- Statistical analysis of novel subspace identification methods
- scientific article; zbMATH DE number 125149
- 4SID: Subspace algorithms for the identification of combined deterministic-stochastic systems
- Analysis of the asymptotic properties of the MOESP type of subspace algorithms
- Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
- Fitting autoregressive models for prediction
- scientific article; zbMATH DE number 3818979 (Why is no real title available?)
- scientific article; zbMATH DE number 193126 (Why is no real title available?)
- Identification of the deterministic part of MIMO state space models given in innovations form from input-output data
- Modeling by shortest data description
- Statistical analysis of novel subspace identification methods
- Subspace-based parameter estimation of symmetric noncausal autoregressive signals from noisy measurements
- Estimating ARMAX systems for multivariate time series using the state approach to subspace algorithms
- Asymptotic properties of subspace estimators
- The role of vector autoregressive modeling in predictor-based subspace identification
- Estimating the system order by subspace methods
- Subspace-based fault detection robust to changes in the noise covariances
- Closed‐loop identification of the time‐varying dynamics of variable‐speed wind turbines
- USING SUBSPACE METHODS FOR ESTIMATING ARMA MODELS FOR MULTIVARIATE TIME SERIES WITH CONDITIONALLY HETEROSKEDASTIC INNOVATIONS
- Finite time LTI system identification
- Comparing the CCA Subspace Method to Pseudo Maximum Likelihood Methods in the case of No Exogenous Inputs
- ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS
- Subspace identification for non-linear systems with measured-input non-linearities
- Model Order Estimation of a Multivariable Stochastic Process
- Prediction error identification of linear systems: a nonparametric Gaussian regression approach
- Model order determination using the Hankel matrix of impulse responses
- Identification of canonical models for vectors of time series: a subspace approach
- Structure identification of time delay polynomial Hammerstein models
- Sinusoidal order estimation using angles between subspaces
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