Title :
A central limit theorem for subspace algorithms
Author :
Bauer, D. ; Deistler, M. ; Scherrer, W.
Author_Institution :
Inst. of Econ., Oper. Res. & Syst. Theor., Tech. Univ. Wien, Vienna, Austria
Abstract :
In the last few years, the so called `subspace-algorithms´ have become a quite popular tool for the estimation of linear dynamic systems. However their statistical properties are not fully clarified right now. Earlier papers investigated the consistency of the method. This paper presents a central limit theorem for the estimates.
Keywords :
linear systems; matrix algebra; multidimensional systems; parameter estimation; probability; statistical analysis; central limit theorem; linear dynamic system estimation; linear time invariant finite dimensional system; statistical properties; subspace algorithm; system matrices; Approximation methods; Covariance matrices; Eigenvalues and eigenfunctions; Heuristic algorithms; Matrix decomposition; Noise; Prediction algorithms; Estimation; Identification of Linear Systems; Subspace Methods;
Conference_Titel :
Control Conference (ECC), 1997 European
Conference_Location :
Brussels
Print_ISBN :
978-3-9524269-0-6
