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We consider a hidden Markov model with multidimen-sional observations, and with misspecification, i.e. the assumed coefficients (transition probability matrix, and observation conditional densities) are possibly different from the true coefficients. Under mild assumptions on the coefficients of both the true and the assumed models, we prove that : (i) the(More)
We consider a hidden Markov model (HMM) with mul-tidimensional observations, and where the coeecients (transition probability matrix, and observation conditional densities) depend on some unknown parameter. We study the asymptotic behaviour of two recursive es-timators, the recursive maximum likelihood estimator (RMLE), and the recursive conditional least(More)
In Operational Modal Analysis, the modal parameters (natural frequencies, damping ratios and mode shapes), obtained from Stochastic Subspace Identification of structures, are subject to statistical uncertainty from ambient vibration measurements. It is hence neccessary to evaluate the confidence intervals of these obtained results. This paper will propose(More)
— In this paper we study " nonstationary consistency " of subspace methods for eigenstructure identification, i.e., the ability of subspace algorithms to converge to the true eigenstruc-ture despite nonstationarities in the excitation and measurement noises. Note that such nonstationarities may result in having time-varying zeros for the underlying system,(More)
Flutter monitoring can be handled by tracking the real time variations of the modal parameters of a specified civil structure, be it a bridge or an aircraft. Previous algorithmic attempts encompass automated batch identification and damage detection through hypothesis testing. Both approaches appear impractical, the first one because of computational time(More)
In this paper a new recursive output-only identification algorithm is proposed based on stochastic realization, a classical covariance driven subspace identification technique. The recursive algorithm yields results that are in close agreement with those of its non-recursive counterpart. Furthermore, the relatively low complexity of the algorithm makes it(More)
Subspace identiication algorithms have proven eecient for performing output-only identiication of the eigenstructure of a linear MIMO system subject to uncontrolled, unmeasured, and nonstationary excitation. Such a problem arises in mechanical engineering, for modal analysis of vibrating structures and machines. A common practice there is to collect data(More)