14th IFAC Symposium on System Identification, SYSID 2006

SYSID-2006 Paper Abstract

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Paper FrA3.1

Chiuso, Alessandro (Univ. of Padova), Picci, Giorgio (Univ. of Padova)

Estimating the Asymptotic Variance of Closed Loop Subspace Estimators

Scheduled for presentation during the Invited Session "New Developments in Closed-Loop Subspace Identification" (FrA3), Friday, March 31, 2006, 10:30−10:50, Hunter Room

14th IFAC Symposium on System Identification, March 29 - 31, 2006, Newcastle, Australia

This information is tentative and subject to change. Compiled on July 16, 2018

Keywords Closed Loop Identification, Subspace Methods, Error Quantification

Abstract

Subspace identification for closed loop systems has been recently studied by several authors. Recent results are available which express the asymptotic variance of the estimated parameters (and hence of any system invariant) as a function of the ``true'' underlying system parameters and of certain conditional covariance matrices.

When it comes to using these formulas in practice one is faced with the problem of computing an estimator for the variance from input-output data alone.

In this paper we discuss this problem, we propose an algorithm which computes an estimate of the variance from data alone and we show, through some simple simulation examples, how this estimate behaves as compared both to the ``true'' asymptotic variance and to its Monte Carlo estimate.