Some insights on the choice of the future horizon in closed-loop CCA-type Subspace Algorithms

@article{Chiuso2007SomeIO,
  title={Some insights on the choice of the future horizon in closed-loop CCA-type Subspace Algorithms},
  author={Alessandro Chiuso},
  journal={2007 American Control Conference},
  year={2007},
  pages={840-845}
}
The length of the future horizon is one of the principal "user choices" in subspace identification. It is well known that for the CCA algorithm the asymptotic variance decreases as the future horizon increases when input signals are white (or absent). There are also examples, when the input is not white, in which the asymptotic variance is minimized when the future horizon is equal to the system order. In this paper we shall discuss how (and why) the choice of the future horizon influences the… CONTINUE READING