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Analysis of the Asymptotic Properties of the MOESP Type of Subspace Algorithms
Institute for Econometrics, Operations Research and System Theory, TU Wien, Argentinierstr. 8, A-1040 Vienna, Austria.
KTH, Superseded Departments, Signals, Sensors and Systems.ORCID iD: 0000-0002-6855-5868
2000 (English)In: Automatica, ISSN 00051098, Vol. 36, no 4, 497-509 p.Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
Elsevier , 2000. Vol. 36, no 4, 497-509 p.
Keyword [en]
subspace method, linear systems, asymptotic analysis, identification
National Category
Signal Processing
Identifiers
URN: urn:nbn:se:kth:diva-82180DOI: 10.1016/S0005-1098(99)00174-0OAI: oai:DiVA.org:kth-82180DiVA: diva2:498008
Note
NR 20140805Available from: 2012-02-11 Created: 2012-02-11 Last updated: 2012-02-11Bibliographically approved

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Jansson, Magnus

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