A Note on LQ Decomposition in Stochastic Subspace Identification

DOI10.1007/978-3-540-93918-4_32zbMath1198.93233OpenAlexW2285798015MaRDI QIDQ4931173

Tohru Katayama

Publication date: 4 October 2010

Published in: Perspectives in Mathematical System Theory, Control, and Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-93918-4_32

zbMATH Keywords

discrete-time stochastic systemssubspace identification methodcovariance of the innovation processsteady state Kalman gain

Mathematics Subject Classification ID

Factorization of matrices (15A23) Discrete-time control/observation systems (93C55) Identification in stochastic control theory (93E12)

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