NDLI: The Role of Vector AutoRegressive Modeling in Subspace Identification

Content Provider	IEEE Xplore Digital Library
Author	Chiuso, A.
Copyright Year	2006
Description	Author affiliation: Dipt. di Tecnica e Gestione dei Sistemi Industriali, Universita di Padova, Vicenza (Chiuso, A.)
Abstract	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 like CCA a recent work have introduced also an "optimized" version of PBSID. In this paper we shall show that indeed also this latter "optimized" PBSID is equivalent to estimating a long VARX model followed by the "classical" steps of subspace identification. This latter step can be seen as a sort of model reduction. Besides the theoretical interest, we shall argue that this may have also important implications regarding computational complexity
Starting Page	3646
Ending Page	3651
File Size	223754
Page Count	6
File Format	PDF
ISBN	1424401712
DOI	10.1109/CDC.2006.377744
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2006-12-13
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Reduced order systems Optimization methods Reactive power Prediction algorithms Predictive models Computational complexity USA Councils Statistical analysis Performance analysis Algorithm design and analysis Subspace Methods Identification Statistical Analysis
Content Type	Text
Resource Type	Article

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4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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