N4SID Algorithm as System Identification Tool
AbstractSubspace state space algorithm of autors P. van Overschee and B. de Moor is considered and it's shown to be useful tool in parameter estimation of models in state space or classical forms. The results of N4SID algorithm is used as initial guess in iterative methods (such as prediction error method) and/or as source of apriori knowledge when identification problems of ARMAX type model occur. The approach is demonstrated on real world data.
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Bibliographic InfoArticle provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.
Volume (Year): 5 (1998)
Issue (Month): 7 ()
System Identification; State space; N4SID; Kalman State; Prediction Error; Instrumental Variable;
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