Analysis of the asymptotic properties of the MOESP type of subspace algorithms

被引：72

作者：

Bauer, D

Jansson, M ^{[1
]}

机构：

[1] Univ Minnesota, Dept Elect & Comp Engn, Minneapolis, MN 55455 USA

[2] Vienna Univ Technol, Inst Okonometrie Operat Res & Syst Theorie, A-1040 Vienna, Austria

来源：

AUTOMATICA | 2000年 / 36卷 / 04期

基金：

奥地利科学基金会;

关键词：

subspace methods; linens systems; asymptotic analysis; identification;

D O I：

10.1016/S0005-1098(99)00174-0

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

The MOESP type of subspace algorithms are used for the identification of linear, discrete time, finite-dimensional state-space systems. They are based on the geometric structure of covariance matrices and exploit the properties of the state vector extensively. In this paper the asymptotic properties of the algorithms are examined. The main results include consistency and asymptotic normality for the estimates of the system matrices, under suitable assumptions on the noise sequence, the input process and the underlying true system. (C) 2000 Elsevier Science Ltd. All rights reserved.

引用

页码：497 / 509

页数：13

共 26 条

[1]

Anderson T. W., 1971, STAT ANAL TIME SERIE

[2] ASYMPTOTIC THEORY FOR PRINCIPAL COMPONENT ANALYSIS [J].

ANDERSON, TW .

ANNALS OF MATHEMATICAL STATISTICS, 1963, 34 (01) :122-&

[3] Consistency and asymptotic normality of some subspace algorithms for systems without observed inputs [J].

Bauer, D ;

Deistler, M ;

Scherrer, W .

AUTOMATICA, 1999, 35 (07) :1243-1254

[4]

BAUER D, 1998, THESIS TU WIEN

[5]

CHATELIN F., 1983, Spectral Approximation of Linear Operators

[6]

CHUI NL, 1997, THESIS U CAMBRIDGE U

[7] Consistency and relative efficiency of subspace methods [J].

Deistler, M ;

Peternell, K ;

Scherrer, W .

AUTOMATICA, 1995, 31 (12) :1865-1875

[8]

Dieudonne J., 1969, Foundations of Modern Analysis

[9]

Golub G. H., 2013, Matrix Computations

[10]

Hannan E. J., 1988, STAT THEORY LINEAR S

← 1 2 3 →