The Asymptotic Variance of Subspace Estimates
نویسندگان
چکیده
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 Classification: C49, C59.
منابع مشابه
Numerical conditioning and asymptotic variance of subspace estimates
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تاریخ انتشار 2003