The asymptotic variance of subspace estimates

被引：52

作者：

Chiuso, A

Picci, G ^{[1
]}

机构：

[1] Univ Padua, Dipartimento Ingn Informaz, I-35131 Padua, Italy

[2] CNR, LADSEB, I-35131 Padua, Italy

来源：

JOURNAL OF ECONOMETRICS | 2004年 / 118卷 / 1-2期

关键词：

subspace identification; asymptotic covariance; stochastic realization with inputs;

D O I：

10.1016/S0304-4076(03)00143-X

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We give new simple general expressions for the asymptotic covariance of the estimated system parameters (A,B,C,D) in subspace identification. The formulas can be applied to a whole class of subspace methods including N4SID, MOESP, CVA, etc. The asymptotic expressions highlight how the conditioning of the estimation problem influences the accuracy of the estimates. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：257 / 291

页数：35

共 30 条

[1] Analysis of the asymptotic properties of the MOESP type of subspace algorithms [J].