Covariance analysis in SISO linear systems identification

DOI10.1016/J.AUTOMATICA.2016.11.025zbMATH Open1355.93195OpenAlexW318701498MaRDI QIDQ510090FDOQ510090

Authors: Jonas Mårtensson, Niklas Everitt, Håkan Hjalmarsson 

Publication date: 16 February 2017

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2016.11.025

Recommendations

• Asymptotic variance expressions for identified black-box transfer function models
• The asymptotic variance of subspace estimates.
• Accuracy analysis of a covariance matching approach for identifying errors-in-variables systems
• On covariance function tests used in system identification
• Variance results for identification of cascade systems

zbMATH Keywords

asymptotic variancesystem identificationlinear SISO 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)

Cites Work

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• Title not available (Why is that?)
• Title not available (Why is that?)
• On the frequency domain accuracy of closed-loop estimates
• Asymptotic variance expressions for identified black-box transfer function models
• System identification using Laguerre models
• Asymptotic variance expressions for estimated frequency functions
• Variance Error Quantifications That Are Exact for Finite-Model Order
• Asymptotic variance expressions for closed-loop identification
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• Variance expressions for spectra estimated using auto-regressions.
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• Quantification of frequency domain error bounds with guaranteed confidence level in prediction error identification
• The Cost of Complexity in System Identification: Frequency Function Estimation of Finite Impulse Response Systems
• Non-Asymptotic Confidence Sets for the Parameters of Linear Transfer Functions
• Quantification of the Variance of Estimated Transfer Functions in the Presence of Undermodeling
• How to Make Bias and Variance Errors Insensitive to System and Model Complexity in Identification
• On the Performance of Optimal Input Signals for Frequency Response Estimation
• Conditions when minimum variance control is the optimal experiment for identifying a minimum variance controller

Cited In (12)

• Approximative weighting for a covariance-matching approach for identifying errors-in-variables systems
• On covariance function tests used in system identification
• A covariance matching approach for identifying errors-in-variables systems
• Integration Algorithm for Covariance Nonstationary Dynamic Analysis of SDOF Systems Using Equivalent Stochastic Linearization
• Numerical conditioning and asymptotic variance of subspace estimates
• On the identification of AR systems excited by periodic signals of unknown phase
• Title not available (Why is that?)
• Title not available (Why is that?)
• Variance-error quantification for identified poles and zeros
• Asymptotic variance expressions for identified black-box transfer function models
• Variance results for identification of cascade systems
• The asymptotic variance of subspace estimates.

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