Realization of stochastic systems with exogenous inputs and subspace identification methods

Authors:
Tohru Katayama;Giorgio Picci
Affiliations:
Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto 606-8501, Japan;Dipartimento di Elettronica e Informatica, Università di Padova and LADSEB-CNR, 35131 Padova, Italy
Venue:
Automatica (Journal of IFAC)
Year:
1999

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Abstract

A stochastic realization theory for a discrete-time stationary process with an exogenous input is developed by extending the classical CCA technique. Some stochastic subspace identification methods are derived by adapting the realization procedure to finite input-output data.