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N4SID Algorithm as System Identification Tool


  • Jan Brůha


Subspace 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.

Suggested Citation

  • Jan Brůha, 1998. "N4SID Algorithm as System Identification Tool," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 5(7).
  • Handle: RePEc:czx:journl:v:5:y:1998:i:7:id:49

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