Statistical analysis of novel subspace identification methods

被引：64

作者：

Peternell, K

Scherrer, W

Deistler, M

机构：

[1] Institut für Ökonometrie, Operations Res. und Systemtheorie, Technische Universität Wien, A-1040 Wien

来源：

SIGNAL PROCESSING | 1996年 / 52卷 / 02期

关键词：

state space systems; subspace algorithms; identification;

D O I：

10.1016/0165-1684(96)00051-5

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

In this paper four subspace algorithms which are based on an initial estimate of the state are considered. Three novel algorithms are introduced and compared with an algorithm which is essentially equal to the N4SID algorithm by Van Overschee and De Moor. For the algorithms considered a consistency result is proved. In a simulation study the relative (statistical) efficiency of these algorithms in relation to the maximum likelihood algorithm is investigated.

引用

页码：161 / 177

页数：17

共 11 条

[1]

AKAIKE H, 1976, MATH SCI ENG, V12, P27

[2] ESTIMATING LINEAR RESTRICTIONS ON REGRESSION COEFFICIENTS FOR MULTIVARIATE NORMAL DISTRIBUTIONS [J].