Order estimation for subspace methods

DOI10.1016/S0005-1098(01)00118-2zbMath0983.93065MaRDI QIDQ5947627

Dietmar Bauer

Publication date: 10 April 2002

Published in: Automatica (Search for Journal in Brave)

zbMATH Keywords

subspace methods; estimation; asymptotic properties; singular values; Larimore type algorithms; penalty term; system order

Mathematics Subject Classification ID

93E10: Estimation and detection in stochastic control theory

Related Items

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, 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, 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

Uses Software

• System Identification Toolbox

Cites Work

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• Statistical analysis of novel subspace identification methods
• Modeling by shortest data description
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Identification of the deterministic part of MIMO state space models given in innovations form from input-output data
• 4SID: Subspace algorithms for the identification of combined deterministic-stochastic systems
• Analysis of the asymptotic properties of the MOESP type of subspace algorithms
• Fitting autoregressive models for prediction
• Subspace-based parameter estimation of symmetric noncausal autoregressive signals from noisy measurements