Experimental evidence showing that stochastic subspace identification methods may fail

DOI10.1016/S0167-6911(98)00020-6zbMath0909.93009MaRDI QIDQ1275161

Anders Dahlén, Anders Lindquist, Jorge Mari

Publication date: 12 January 1999

Published in: Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

subspace identificationpositive realnessmodel reductionalgebraic degreepartial realizationpositive degree

Mathematics Subject Classification ID

System identification (93B30)

Related Items (4)

The relation of the CCA subspace method to a balanced reduction of an autoregressive model. ⋮ A covariance extension approach to identification of time series ⋮ Minimum phase properties of finite-interval stochastic realization ⋮ Asymptotic properties of subspace estimators

Cites Work

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• Canonical correlation analysis, approximate covariance extension, and identification of stationary time series
• Predictability and unpredictability in Kalman filtering
• Markovian Representation of Stochastic Processes by Canonical Variables
• On the partial stochastic realization problem

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