Bias of indirect non-parametric transfer function estimates for plants in closed loop (Q5947624)

The paper is devoted to non-parametric indirect transfer function estimates for plants in closed-loop. An expression for the bias of the indirect estimates is derived. It is shown that under some mild assumptions the variance of such estimates is infinite. Further it is shown how such expressions can be applied to spectral and empirical transfer function estimates with finite data. The estimates with hard bound are also considered. The obtained results are illustrated on the base of simulations. In particular it is shown that the results seem also to be applicable to joint input-output estimates.