Subspace-based identification: Weighting and pre-filtering of instruments
A subspace-based state-space system identification (4SID) problem is considered for a discrete-time time-invariant linear stochastic system operating in open loop. The asymptotic estimation error of the extended observability matrix, estimated from input-output measurement data, is examined. Novel weighting matrices and pre-filters in the instrumental variable 4SID framework are derived. Their optimality in the particular sense specified in the paper is discussed. Several numerical examples illustrate the benefits of the proposed weighting and pre-filtering strategies.
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- Analysis of state space system identification methods based on instrumental variables and subspace fitting
- Analysis of the asymptotic properties of the MOESP type of subspace algorithms
- scientific article; zbMATH DE number 1090982 (Why is no real title available?)
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