Realization of stochastic systems with exogenous inputs and subspace identification methods

DOI10.1016/S0005-1098(99)00072-2zbMATH Open0933.93025OpenAlexW1996344676MaRDI QIDQ1805974FDOQ1805974

Authors: Tohru Katayama, Giorgio Picci 

Publication date: 28 March 2000

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0005-1098(99)00072-2

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zbMATH Keywords

canonical correlation analysissubspace identificationoblique projectionexogenous inputsstochastic realization

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Identification in stochastic control theory (93E12) Realizations from input-output data (93B15)

Cited In (13)

• Generalized least squares innovation representation
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• Subspace identification of closed loop systems by the orthogonal decomposition method
• Canonical correlations of past inputs and future outputs for linear stochastic systems
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• An approach to closed-loop subspace identification by orthogonal decomposition
• Subspace algorithms for identifying separable-in-denominator 2D systems with deterministic-stochastic inputs
• The asymptotic variance of subspace estimates.

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