Title :
Bootstrap statistical tests of rank determination for system identification
Author :
Camba-Mendez, Gonzalo ; Kapetanios, George
Author_Institution :
Eur. Central Bank, Frankfurt Am Main, Germany
Abstract :
Identification of multivariate state-space models involves the specification of the dimension of the state vector. This note evaluates the performance of some asymptotic statistical tests of rank determination together with their bootstrapped versions against information criteria (IC) methods. Results show that certain bootstrapped procedures improve upon the performance of the corresponding asymptotic tests, and statistical tests have in general a better performance than IC methods.
Keywords :
matrix algebra; multivariable systems; state estimation; state-space methods; statistical testing; Henkel matrix; asymptotic statistical tests; bootstrap tests; information criteria; multivariate state-space models; rank determination; state vector; system identification; Context modeling; Covariance matrix; Integrated circuit testing; Monte Carlo methods; Power generation economics; Power system modeling; System identification; System testing; Transfer functions; Uncertainty;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.2003.822867