Subspace ID- (Van Overschee & Moor, 96)

with the assumptions: E[xk]=0

Independence : E[xk vtk]=0 E[xk wtk]=0

Stationarity:E[xk xtk]=?(indep. of k)

Essential Steps

• Form an output Hankel matrix

i blocks

i blocks

Yp

Yf

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