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Vector ARMA estimation: A reliable subspace approach
Uppsala University, Teknisk-naturvetenskapliga vetenskapsområdet, Mathematics and Computer Science, Department of Information Technology.
2000 (English)In: IEEE TRANSACTIONS ON SIGNAL PROCESSING, ISSN 1053-587X, Vol. 48, no 7, 2092-2104 p.Article in journal (Refereed) Published
Abstract [en]

A parameter estimation method for finite dimensional multivariate linear stochastic systems, which is guaranteed to produce valid models approximating the true underlying system in a computational time of a polynomial order in the system dimension, is pre

Place, publisher, year, edition, pages
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC , 2000. Vol. 48, no 7, 2092-2104 p.
Keyword [en]
autoregressive moving-average; covariance fitting; linear matrix inequalities; polynomial factorizations; Schur stabilization; semidefinite programming; system identification; vector-valued linear stochastic systems; ORDER ESTIMATION; IDENTIFICATION; SYST
Identifiers
URN: urn:nbn:se:uu:diva-36541OAI: oai:DiVA.org:uu-36541DiVA: diva2:64440
Note
Addresses: Mari J, Royal Inst Technol, Stockholm, Sweden. Royal Inst Technol, Stockholm, Sweden. Uppsala Univ, Syst & Control Grp, Uppsala, Sweden. Linkoping Univ, Div Automat Control, Linkoping, Sweden.Available from: 2008-10-17 Created: 2008-10-17 Last updated: 2011-01-14

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