The Role of Vector AutoRegressive Modeling in Subspace Identification

  title={The Role of Vector AutoRegressive Modeling in Subspace Identification},
  author={Alessandro Chiuso},
  journal={Proceedings of the 45th IEEE Conference on Decision and Control},
Some subspace procedures make use, directly or indirectly, of Vector AutoRegressive with eXogenous inputs (VARX) models in a preliminary step. This was first noticed for the CCA method; more recently it has also been proved that the first oblique projection step of a subspace algorithm based on predictor identification (PBSID) is asymptotically equivalent to the SSARX algorithm by Jansson which performs a preliminary VARX modeling step. For the purpose of comparison with more classical methods… CONTINUE READING