Least-squares estimation of a class of frequency functions: A finite sample variance expression
2006 (English)In: Automatica, ISSN 0005-1098, Vol. 42, no 4, 589-600 p.Article in journal (Refereed) Published
A new expression for the variance of scalar frequency functions estimated using the least-squares method is presented. The expression is valid for finite sample size and for a class of model structures, which includes finite impulse response, Laguerre and Kautz models, when the number of estimated parameters coincides with the number of excitation frequencies of the input. The expression gives direct insight into how excitation frequencies and amplitudes affect the accuracy of frequency function estimates. With the help of this expression, a severe sensitivity of the accuracy with respect to the excitation frequencies is exposed. The relevance of the expression when more excitation frequencies are used is also discussed.
Place, publisher, year, edition, pages
2006. Vol. 42, no 4, 589-600 p.
frequency function, model variance, FIR models, Laguerre models, Kautz models, periodic signals, system-identification, confidence-regions, orthonormal bases, experiment design, input-design, models, error
Research subject SRA - ICT
IdentifiersURN: urn:nbn:se:kth:diva-15554DOI: 10.1016/j.automatica.2005.12.021ISI: 000236340300007ScopusID: 2-s2.0-33144467611OAI: oai:DiVA.org:kth-15554DiVA: diva2:333595
FunderSwedish Research Council, 621-2001-2147
QC 201005252010-08-052010-08-052012-01-19Bibliographically approved