The asymptotic variance of subspace estimates.

DOI10.1016/S0304-4076(03)00143-XzbMATH Open1078.62533MaRDI QIDQ1421322FDOQ1421322

Authors: Alessandro Chiuso, Giorgio Picci 

Publication date: 26 January 2004

Published in: Journal of Econometrics (Search for Journal in Brave)

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• Numerical conditioning and asymptotic variance of subspace estimates
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zbMATH Keywords

Asymptotic covarianceSubspace identificationStochastic realization with inputs

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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• Canonical correlation analysis, approximate covariance extension, and identification of stationary time series
• Analysis of the asymptotic properties of the MOESP type of subspace algorithms
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• Some facts about the choice of the weighting matrices in Larimore type of subspace algorithms
• On jointly stationary feedback-free stochastic processes
• Subspace model identification Part 2. Analysis of the elementary output-error state-space model identification algorithm
• Choice of state-space basis in combined deterministic-stochastic subspace identification
• Unit canonical correlations between future and past
• Realization of stochastic systems with exogenous inputs and subspace identification methods

Cited In (16)

• Fixed-domain asymptotics for variograms using subsampling
• Statistical estimation of a subspace in a complex space
• Asymptotic variance of subspace methods by data orthogonalization and model decoupling: a comparative analysis
• ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS
• Linear parameter-varying subspace identification: a unified framework
• Estimating ARMAX systems for multivariate time series using the state approach to subspace algorithms
• Numerical conditioning and asymptotic variance of subspace estimates
• A novel subspace identification approach with enforced causal models
• Parameterization and identification of multivariable state-space systems: a canonical approach
• Subspace identification by data orthogonalization and model decoupling
• On the ill-conditioning of subspace identification with inputs
• System identification methods for (operational) modal analysis: review and comparison
• Asymptotic properties of subspace estimators
• On the behavior of large empirical autocovariance matrices between the past and the future
• Covariance analysis in SISO linear systems identification
• The role of vector autoregressive modeling in predictor-based subspace identification

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