Asymptotic variance expressions for estimated frequency functions

DOI10.1109/9.975472zbMath1008.93064OpenAlexW2099662528WikidataQ59591972 ScholiaQ59591972MaRDI QIDQ4540264

Lennart Ljung, Liang-Liang Xie

Publication date: 21 July 2002

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/9.975472

zbMATH Keywords

system identificationaccuracyasymptotic varianceestimated frequencyAR-modelsfixed pole models

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Frequency-response methods in control theory (93C80) Identification in stochastic control theory (93E12)

Related Items (12)

Information matrix and D-optimal design with Gaussian inputs for Wiener model identification ⋮ Identification of multi-input systems: variance analysis and input design issues ⋮ Least-squares estimation of a class of frequency functions: a finite sample variance expression ⋮ Variance expressions for spectra estimated using auto-regressions. ⋮ Variance error, interpolation and experiment design ⋮ Covariance analysis in SISO linear systems identification ⋮ On the frequency domain accuracy of closed-loop estimates ⋮ Assessing the quality of identified models through the asymptotic theory -- when is the result reliable? ⋮ From experiment design to closed-loop control ⋮ Identification for control: from the early achievements to the revival of experiment design ⋮ Data-driven model reference control design by prediction error identification ⋮ Variance-error quantification for identified poles and zeros

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