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Authors
Yoshinori Takei; Hidehito Nanto; Shunshoku Kanae; Zi-Jiang Yang; Kiyoshi Wada

Identifier
10.3182/20060329-3-AU-2901.00040

Index Terms
interpretation,subspace methods,identification,MIMO,stochastic systems

Abstract
Using a unified approach, recursive algorithms of the error covariance matrices in subspace methods are derived for the MOESP type of subspace methods. The proposed approach is based on the fact that the subspace extraction amounts to computing singular value decomposition of the Schur complement (SC) of the input submatrix in data product moments and the SC can be interpreted as the least squares residuals. The recursion of the error covariance matrix can be applied to derive recursive subspace identification algorithms.

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