Asymptotic Efficiency of CCA Subspace Methods in the Case of no Exogenous Inputs
2000 (English)Report (Other academic)
In this paper one of the main open questions in the area of subspace methods is answered partly. One particular algorithm, sometimes termed CCA, is shown to be asymptotically equivalent to estimates obtained by minimizing the pseudo maximum likelihood. Here asymptotically equivalent means, that the difference of the two estimators times the square root of the sample size tends to zero.
Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2000. , 15 p.
LiTH-ISY-R, ISSN 1400-3902 ; 2262
Linear systems, Discrete time systems, Subspace methods, Asymptotic efficiency
IdentifiersURN: urn:nbn:se:liu:diva-55673ISRN: LiTH-ISY-R-2262OAI: oai:DiVA.org:liu-55673DiVA: diva2:316397