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Consistency and relative efficiency of subspace methods |
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| Authors: | M. Deistler K. Peternell W. Scherrer |
| Affiliation: | †Institut für Ökonometrie, Operations Research und Systemtheorie, Technische Universität Wien, Argentinierstr. 8, A-1040 Wien, Austria |
| Abstract: | We give a consistency proof for two subspace methods. We then show the asymptotic equivalence of a special subspace method and the initial estimate proposed by Hannan and Rissanen. Finally, a simulation study comparing two subspace methods and the maximum-likelihood method is performed. |
| Keywords: | Linear dynamic systems state-space representations identification algorithms subspace methods Hannan-Rissanen method maximum-likelihood estimators statistical analysis consistency relative efficiency |
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