@inproceedings{b1c24811fa87438b9274fad31fb4bdfb,
title = "Random matrix based approach to quantify the effect of measurement noise on Hankel matrix",
abstract = "This paper focuses on the development of analytical methods for uncertainty quantification of the models obtained by the Eigensystem Realization Algorithm (ERA) to quantify the effect of noise in the input-output experimental data. Starting from first principles, analytical expressions are presented for the probability distribution of eigenvalues of the Hankel matrix by application of standard results in random matrix theory. This result naturally leads to a probabilistic method for model order determination (reduction). By application of further results from the theory of random matrices, we develop analytical expressions for the marginal probability density of eigenvalues. Numerical examples illustrate the applications of ideas presented in the paper.",
author = "Kumar Vishwajeet and Manoranjan Majji and Puneet Singla",
year = "2013",
doi = "10.1109/acc.2013.6580631",
language = "English (US)",
isbn = "9781479901777",
series = "Proceedings of the American Control Conference",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
pages = "5104--5109",
booktitle = "2013 American Control Conference, ACC 2013",
address = "United States",
note = "2013 1st American Control Conference, ACC 2013 ; Conference date: 17-06-2013 Through 19-06-2013",
}