Abstract
In this Chapter, we treat the subspace identification of purely stochastic systems with no external input (uk ≡ 0). The stochastic identification problem thus consists of computing the stochastic system matrices from given output data only. We show how this can be done using geometric operations.
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© 1996 Kluwer Academic Publishers
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Van Overschee, P., De Moor, B. (1996). Stochastic Identification. In: Subspace Identification for Linear Systems. Springer, Boston, MA. https://doi.org/10.1007/978-1-4613-0465-4_3
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DOI: https://doi.org/10.1007/978-1-4613-0465-4_3
Publisher Name: Springer, Boston, MA
Print ISBN: 978-1-4613-8061-0
Online ISBN: 978-1-4613-0465-4
eBook Packages: Springer Book Archive