Title :
Recursive canonical variate subspace algorithm
Author :
Delgado, Catarina J M ; Santos, P.L.D.
Author_Institution :
Faculdade de Economia do Porto, Portugal
Abstract :
In this paper, a recursive algorithm is presented, based on the CVA subspace identification algorithm. The main idea was to explore the relations between the orthogonal and oblique projections involved and to provide simpler expressions that allowed a recursive version of the algorithm - guaranteeing most of the advantages of this kind of methods, and still improving the numerical efficiency.
Keywords :
linear systems; matrix decomposition; recursive estimation; state-space methods; CVA subspace identification algorithm; linear system identification; oblique projection; orthogonal projection; recursive canonical variate subspace algorithm; state-space models;
Conference_Titel :
SICE 2004 Annual Conference
Conference_Location :
Sapporo
Print_ISBN :
4-907764-22-7
