N4SID Algorithm as System Identification Tool

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.

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Year of publication:	1998
Authors:	Brůha, Jan
Published in:	Bulletin of the Czech Econometric Society. - Česká ekonometrická společnost - CES. - Vol. 5.1998
Publisher:	Česká ekonometrická společnost - CES
Subject:	System Identification \| State space \| N4SID \| Kalman State \| Prediction Error \| Instrumental Variable

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008528810