THE ASYMPTOTIC VARIANCE OF SUBSPACE ESTIMATES ALESSANDRO CHIUSO * and GIORGIO PICCI † September 2, 2002 Abstract We give new simple general expressions for the asymptotic covariance of the estimated system parameters (A,B,C,D) in subspace identification. The formulas can be applied to a whole class of subspace methods including N4SID, MOESP, CVA etc. The asymptotic expressions highlight how the conditioning of the estimation problem influences the accuracy of the estimates. Journal of Economic Literature Classification: C49, C59. Keywords: Subspace Identification; Asymptotic Covariance; Stochastic Realization with Inputs. * Dipartimento di Elettronica e Informatica, University of Padova, 35131 Padua, Italy; Email: chiuso@dei.unipd.it † Dipartimento di Elettronica e Informatica, University of Padova and LADSEB-CNR, 35131 Padua, Italy; Email: picci@dei.unipd.it