Analysis of the asymptotic properties of the MOESP type of subspace algorithms

Authors:
D. Bauer;M. Jansson
Affiliations:
Institut für Ökonometrie, Operations Research und Systemtheorie, Technische Universität Wien, Argentinierstr. 8/119, A-1040 Vienna, Austria;Department of Electrical & Computer Engineering, University of Minnesota, Minneapolis, MN 55455, USA
Venue:
Automatica (Journal of IFAC)
Year:
2000

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Abstract

The MOESP type of subspace algorithms are used for the identification of linear, discrete time, finite-dimensional state-space systems. They are based on the geometric structure of covariance matrices and exploit the properties of the state vector extensively. In this paper the asymptotic properties of the algorithms are examined. The main results include consistency and asymptotic normality for the estimates of the system matrices, under suitable assumptions on the noise sequence, the input process and the underlying true system.