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Since the proposal of subspace methods in the 1980s and early 1990s substantial efforts have been made in the analysis of the statistical properties of the algorithms. This paper surveys the literature on the asymptotic properties of particular subspace methods used for linear, dynamic, time invariant, discrete time systems. The goals of this paper are threefold: First this survey tries to present...
In this paper the effect of some weighting matrices on the asymptotic variance of the estimates of linear discrete time state space systems estimated using subspace methods is investigated. The analysis deals with systems with white or without observed inputs and refers to the Larimore type of subspace procedures. The main result expresses the asymptotic variance of the system matrix estimates in...
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