Vector ARMA estimation: A reliable subspace approach (Q2734358)
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scientific article; zbMATH DE number 1633981
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Vector ARMA estimation: A reliable subspace approach |
scientific article; zbMATH DE number 1633981 |
Statements
13 December 2001
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autoregressive moving-average
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covariance fitting
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linear matrix inequality
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polynomial factorizations
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Schur stability
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semidefinite programming
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system identification
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vector-valued linear stochastic systems
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subspace methods
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Vector ARMA estimation: A reliable subspace approach (English)
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The authors propose a subspace approach to parameter estimation for finite-dimensional multivariate linear stochastic systems. This method has the merit that it guarantees the production of valid models approximating the true underlying system in a computational time of a polynomial order in the system dimension. This method is based on a combination of certain stochastic subspace identification techniques with matrix Schur restabilizing procedures and multivariate covariance fitting. Numerical examples are presented to demonstrate the performance of the method.
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