Testing the rank of the Hankel covariance matrix: a statistical approach
Testing the rank of the Hankel covariance matrix: a statistical approach
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测试 Hankel 协方差矩阵的秩：一种统计方法
DOI：
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发表时间：
2001
影响因子：
6.8
通讯作者：
G. Kapetanios
中科院分区：
文献类型：
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作者：
Gonzalo Camba;G. Kapetanios
对应于系统传递函数的Hankel矩阵的秩等于其最小状态空间实现的阶数。由于Hankel矩阵的块元素很少被精确给出，而是被估计，因此计算Hankel矩阵的秩变得复杂。我们提出了统计检验来确定Hankel矩阵的秩数。我们还提供了与现有程序相比这些测试的可靠性的蒙特卡罗研究。
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.