DocumentCode
1444724
Title
Testing the rank of the Hankel covariance matrix: a statistical approach
Author
Camba-Mendez, Gonzalo ; Kapetanios, George
Author_Institution
Nat. Inst. of Econ. & Social Res., London, UK
Volume
46
Issue
2
fYear
2001
fDate
2/1/2001 12:00:00 AM
Firstpage
331
Lastpage
336
Abstract
The rank of the Hankel matrix, corresponding to a system transfer function, is equal to the order of its minimal state space realization. The computation of the rank of the Hankel matrix is complicated by the fact that its block elements are rarely given exactly but are estimated instead. We propose statistical tests to determine the rank of the Hankel matrix. We also provide a Monte Carlo study on the reliability of these tests compared to existing procedures
Keywords
Hankel matrices; Monte Carlo methods; covariance matrices; discrete systems; multivariable control systems; reduced order systems; state-space methods; statistical analysis; transfer functions; Hankel covariance matrix; Monte Carlo study; block elements; minimal state space realization; rank testing; statistical approach; Adaptive control; Control systems; Cost function; Covariance matrix; Monte Carlo methods; Optimal control; Optimization methods; Signal design; Testing; Transfer functions;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.905704
Filename
905704
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