Abstract
Recently, derivation of the recursive algorithms for subspace identification has attracted a great deal attention. The most of researchers have studied about the time-invariant discrete-time linear systems. Contrary to such systems, research taken into consideration for time-varying continuous-time systems is very few. In this paper, we propose a recursive subspace identification algorithm for the continuous-/discrete-time, time-invariant/varying stochastic systems. The principal attack to derive algorithm are based on updating the L-factor matrix of the LQ-factorization.
