Variance analysis of linear SIMO models with spatially correlated noise

DOI10.1016/J.AUTOMATICA.2016.11.017zbMATH Open1355.93191arXiv1501.03077OpenAlexW1546473381MaRDI QIDQ510089FDOQ510089

Authors: Niklas Everitt, Giulio Bottegal, Cristian R. Rojas, Håkan Hjalmarsson 

Publication date: 16 February 2017

Published in: Automatica (Search for Journal in Brave)

Abstract: Substantial improvement in accuracy of identified linear time-invariant single-input multi-output (SIMO) dynamical models is possible when the disturbances affecting the output measurements are spatially correlated. Using an orthogonal representation for the modules composing the SIMO structure, in this paper we show that the variance of a parameter estimate of a module is dependent on the model structure of the other modules, and the correlation structure of the disturbances. In addition, we quantify the variance-error for the parameter estimates for finite model orders, where the effect of noise correlation structure, model structure and signal spectra are visible. From these results, we derive the noise correlation structure under which the mentioned model parameterization gives the lowest variance, when one module is identified using less parameters than the other modules.

Full work available at URL: https://arxiv.org/abs/1501.03077

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zbMATH Keywords

least-squaresasymptotic variancesystem identificationlinear SIMO models

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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Cited In (1)

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