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.
Asymptotic Variance of Subspace Estimates
CHIUSO, ALESSANDRO;PICCI, GIORGIO
2004
Abstract
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.
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