The default parameterization of the state-space matrices A, B, C, D, and K is free; that is, any elements in the matrices are adjustable by the estimation routines. Because the parameterization of A, B, and C is free, a basis for the state-space realization is automatically selected to give well-conditioned calculations.
To estimate the disturbance model K, you must use time-domain data.
Suppose that you have no knowledge about the internal structure of the discrete-time state-space model. To quickly get started, use the following syntax:
m = ssest(data)
m = ssregest(data)
data is your estimation
ssest estimates a continuous-time state-space
model for an automatically selected order between 1 and 10.
a discrete-time model.
find a model of a specific order
n, use the following
m = ssest(data,n)
m = ssregest(dat,n)
ssest is initialized by the
n4sid. You can use
as an alternative to
m = n4sid(data)
which automatically estimates a discrete-time model of the best order in the 1:10 range.