Autoregressive Processes on Stiefel and Grassmann Manifolds

Abstract

System identification methods for autoregressive processes on Stiefel and Grassmann manifolds are presented and studied. We model the system parameters as elements of the orthogonal group and we show that the system can be estimated by averaging over observations. Lastly, we propose an algorithm for computing these system parameters using a conjugate gradient method adapted to Stiefel and Grassmann manifolds.