The eigenvalues of an unknown linear dynamical system's state-transition matrix can be consistently estimated from output time series by fitting the autoregressive parameters of an ARMA model, at a root-T convergence rate.
D.2 Empirical correlation between AR distance and LDS distance
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Linear Dynamics: Clustering without identification
The eigenvalues of an unknown linear dynamical system's state-transition matrix can be consistently estimated from output time series by fitting the autoregressive parameters of an ARMA model, at a root-T convergence rate.