The asymptotic variance of subspace estimates.

DOI10.1016/S0304-4076(03)00143-XzbMath1078.62533MaRDI QIDQ1421322

Giorgio Picci, Alessandro Chiuso

Publication date: 26 January 2004

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Subspace identificationAsymptotic covarianceStochastic realization with inputs

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Linear parameter-varying subspace identification: a unified framework, Parameterization and identification of multivariable state-space systems: a canonical approach, On the ill-conditioning of subspace identification with inputs, Numerical conditioning and asymptotic variance of subspace estimates, ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS, System identification methods for (operational) modal analysis: review and comparison, The role of vector autoregressive modeling in predictor-based subspace identification, Subspace identification by data orthogonalization and model decoupling, Asymptotic variance of subspace methods by data orthogonalization and model decoupling: a comparative analysis, Asymptotic properties of subspace estimators, Estimating ARMAX systems for multivariate time series using the state approach to subspace algorithms, On the behavior of large empirical autocovariance matrices between the past and the future, A novel subspace identification approach with enforced causal models

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