Consistency analysis of subspace identification methods based on a linear regression approach

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Resumé

In the literature results can be found which claim consistency for the subspace method under certain quite weak assumptions. Unfortunately, a new result gives a counter example showing inconsistency under these assumptions and then gives new more strict sufficient assumptions which however does not include important model structures as e.g. Box-Jenkins. Based on a simple least squares approach this paper shows the possible inconsistency under the weak assumptions and develops only slightly stricter assumptions sufficient for consistency and which includes any model structure
OriginalsprogDansk
TidsskriftAutomatica
Sider (fra-til)81-89
ISSN0005-1098
StatusUdgivet - 2001

Citer dette

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abstract = "In the literature results can be found which claim consistency for the subspace method under certain quite weak assumptions. Unfortunately, a new result gives a counter example showing inconsistency under these assumptions and then gives new more strict sufficient assumptions which however does not include important model structures as e.g. Box-Jenkins. Based on a simple least squares approach this paper shows the possible inconsistency under the weak assumptions and develops only slightly stricter assumptions sufficient for consistency and which includes any model structure",
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Consistency analysis of subspace identification methods based on a linear regression approach. / Knudsen, Torben.

I: Automatica, 2001, s. 81-89.

Publikation: Bidrag til tidsskriftTidsskriftartikelFormidling

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