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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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    References listed on IDEAS

    1. Dirk Tasche, 2004. "The single risk factor approach to capital charges in case of correlated loss given default rates," Papers cond-mat/0402390,, revised Feb 2004.
    2. Konstantin Belyaev & Aelita Belyaeva & Tomas Konecny & Jakub Seidler & Martin Vojtek, 2012. "Macroeconomic Factors as Drivers of LGD Prediction: Empirical Evidence from the Czech Republic," Working Papers 2012/12, Czech National Bank, Research Department.
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    6. Stefano Caselli & Stefano Gatti & Francesca Querci, 2008. "The Sensitivity of the Loss Given Default Rate to Systematic Risk: New Empirical Evidence on Bank Loans," Journal of Financial Services Research, Springer;Western Finance Association, vol. 34(1), pages 1-34, August.
    7. Seidler, Jakub & Horvath, Roman & Jakubík, Petr, 2009. "Estimating expected loss given default in an emerging market: the case of Czech Republic," Journal of Financial Transformation, Capco Institute, vol. 27, pages 103-107.
    8. De Graeve, F. & Kick, T. & Koetter, M., 2008. "Monetary policy and financial (in)stability: An integrated micro-macro approach," Journal of Financial Stability, Elsevier, vol. 4(3), pages 205-231, September.
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