Since the proposal of subspace methods in the 1980s and early 1990s substantial efforts
have been made in the analysis of the statistical properties of the algorithms. This paper …

Part I deals with the mathematical preliminaries: numerical linear algebra; system theory;
stochastic processes; and Kalman filtering. Part II explains realization theory as applied to …

This book is intended to be a treatise on the theory and modeling of secondorder stationary
processes with an exposition of some application areas which we believe are important in …

Subspace identification for closed loop systems has been recently studied by several
authors. A class of new and consistent closed-loop subspace algorithms is based on …

We study statistical consistency of two recently proposed subspace identification algorithms
for closed-loop systems. These algorithms may be seen as implementations of an abstract …

This paper presents a method for the identification of multiple-input-multiple-output (MIMO)
Hammerstein systems for the goal of prediction. The method extends the numerical …

A novel subspace identification method is presented which is able to reconstruct the
deterministic part of a multivariable state-space LPV system with affine parameter …

In this paper, we investigate the relation between a recently proposed subspace method
based on predictor identification (PBSID), known also as ldquowhitening filter algorithm …

We give new simple general expressions for the asymptotic covariance of the estimated
system parameters (A, B, C, D) in subspace identification. The formulas can be applied to a …

We consider the problem of fitting a statistical model to 30 years of sea surface temperature
records collected over a large portion of the Northern Atlantic. The observations were …