DocumentCode
700987
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
fYear
1997
fDate
1-7 July 1997
Firstpage
3290
Lastpage
3293
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Control Conference (ECC), 1997 European
Conference_Location
Brussels
Print_ISBN
978-3-9524269-0-6
Type
conf
Filename
7082619
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