The asymptotic variance of subspace estimates
نویسندگان
چکیده
منابع مشابه
The Asymptotic Variance of Subspace Estimates
We give new simple general expressions for the asymptotic covariance of the estimated system parameters (A,B,C,D) in subspace identification. The formulas can be applied to a whole class of subspace methods including N4SID, MOESP, CVA etc. The asymptotic expressions highlight how the conditioning of the estimation problem influences the accuracy of the estimates. Journal of Economic Literature ...
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New formulas for the asymptotic variance of the parameter estimates in subspace identi)cation, show that the accuracy of the parameter estimates depends on certain indices of ‘near collinearity’ of the state and future input subspaces of the system to be identi)ed. This complements the numerical conditioning analysis of subspace methods presented in the companion paper (On the ill-conditioning ...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2004
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(03)00143-x