Frequency Domain System Identification with IV Based Subspace Algorithm

In this paper we discuss how the time domain subspace based identification algorithms can be modified in order to be applicable when the primary measurements are given as samples of the Fourier transform of the input and output signals. Particularly we study the PI-MOESP algorithm [19] in a frequency domain framework. We show that this method is consistent if a certain rank constraint is satisfied and the frequency domain noise is zero mean and have bounded covariance. An example is presented which illuminates the theoretical discussion