Least-squares estimation of a class of frequency functions: a finite sample variance expression

DOI10.1016/J.AUTOMATICA.2005.12.021MaRDI QIDQ856503zbMATH OpenOpenAlexFDO

Authors Håkan Hjalmarsson, Brett Ninness

Publication date 7 December 2006

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2005.12.021

zbMATH Keywords

FIR modelsfrequency functionperiodic signalsLaguerre modelsKautz modelsmodel variance

Mathematics Subject Classification ID

System identification (93B30) Design techniques (robust design, computer-aided design, etc.) (93B51) Stochastic systems in control theory (general) (93E03)

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Cites work

• Asymptotic properties of black-box identification of transfer functions
• Asymptotic variance expressions for estimated frequency functions
• Asymptotic variance expressions for identified black-box transfer function models
• Control-relevant experiment design for multivariable systems described by expansions in orthonormal bases
• Estimation of model quality
• Fast projection methods for minimal design problems in linear system theory
• From experiment design to closed-loop control
• Guaranteed non-asymptotic confidence regions in system identification
• Identification For Control: Optimal Input Design With Respect To A Worst-Case $\nu$-gap Cost Function
• Input design via LMIs admitting frequency-wise model specifications in confidence regions
• Least costly identification experiment for control
• Non-asymptotic quality assessment of generalised FIR models with periodic inputs
• Optimal estimation theory for dynamic systems with set membership uncertainty: An overview
• System identification using Kautz models
• The Effect of Regularization on Variance Error
• The fundamental role of general orthonormal bases in system identification
• Variance Error Quantifications That Are Exact for Finite-Model Order
• Worst-case control-relevant identification

Cited in

(11)

• Variance-error quantification for identified poles and zeros
• Non-asymptotic confidence regions for model parameters in the presence of unmodelled dynamics
• Accuracy of linear multiple-input multiple-output (MIMO) models obtained by maximum likelihood estimation
• Non-asymptotic model quality assessment of transfer functions at multiple frequency points
• Convergence analysis of EFOP estimate based on frequency domain smoothing
• On input design for regularized LTI system identification: power-constrained input
• On embeddings and inverse embeddings of input design for regularized system identification
• Covariance analysis in SISO linear systems identification
• Variance analysis of linear SIMO models with spatially correlated noise
• Asymptotic variance expressions for estimated frequency functions
• Variance analysis of identified linear MISO models having spatially correlated inputs, with application to parallel Hammerstein models

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