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Asymptotic Efficiency of CCA Subspace Methods in the Case of no Exogenous Inputs
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2000 (English)Report (Other academic)
Abstract [en]

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
Keyword [en]
Linear systems, Discrete time systems, Subspace methods, Asymptotic efficiency
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-55673ISRN: LiTH-ISY-R-2262OAI: diva2:316397
Available from: 2010-04-30 Created: 2010-04-30 Last updated: 2014-07-31Bibliographically approved

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Automatic ControlThe Institute of Technology
Control Engineering

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ReferencesLink to record
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