OPTIMAL WEIGHTING FOR MOESP TYPE OF PROCEDURES

摘要

In this paper we discuss the asymptotic properties of the MOESP type of subspace methods with respect to certain user-defined parameters. A new instrumental variables interpretation of these algorithms is given. This leads to a lower bound on the achievable estimation accuracy, which is different from the Cramer Rao lower bound. Some facts about the asymptotic covariance matrix are derived.