Stochastic Subspace Realization

A tool to identify a state space model from stochastic signals

This code provides a tool to identify a state space model from stochastic signals using a subspace approach.

The code is implemented in two steps using a nested function. The first step returns a vector of subspace singular values, from which a user can determine an appropriate order for the state space to be identified. Then by calling the nested function using the returned function handle the matrices of the state space model are obtained.