Asymptotic variance expressions for estimated frequency functions

DOI10.1109/9.975472MaRDI QIDQ4540264zbMATH OpenOpenAlexWikidataFDO

Authors 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

asymptotic variancesystem identificationaccuracyestimated frequencyAR-modelsfixed pole models

Mathematics Subject Classification ID

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

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Cited in

(12)

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

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