On the frequency domain accuracy of closed-loop estimates (Q2486087)

The paper deals with the closed loop parametric identification of discrete-time linear systems in the frequency domain, assuming a particular class of controllers and white reference as well as white measurement noise signals. The exact variance expressions of frequency response estimates obtained by the prediction error estimation method are utilized and the relationship between the estimation accuracy of direct and indirect approaches is studied for finite model order case. It is shown that for such a case the accuracy of various closed-loop estimation techniques can in general be significantly different and that for indirect methods it depends in addition both on the closed loop configuration and also some choices made by the experimenter (e.g. of pre-filter). Proper theory is presented and validated by simulation examples.