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The discrete-time state-space model for a time series is given by the following equations:
where T is the sampling interval and y(kT) is the output at time instant kT.
The time-series structure corresponds to the general structure with empty B and D matrices.
For information about general discrete-time and continuous-time structures for state-space models, see What Are State-Space Models?.
You can estimate single-output and multiple-output state-space models at the command line for time-domain data (iddata object).
The following table provides a brief description of each command. The resulting models are idss model objects. You can estimate either continuous-time, or discrete-time models using these commands.
Commands for Estimating State-Space Time-Series Models
Noniterative subspace method for estimating linear state-space models.
Estimates linear time-series models using an iterative estimation method that minimizes the prediction error.