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Fundamental Limitations on the Variance of Estimated Parametric Models
KTH, School of Electrical Engineering (EES), Automatic Control. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre. (System Identification Group)ORCID iD: 0000-0003-0355-2663
The University of Newcastle, Australia.
The University of Newcastle, Australia.
2009 (English)In: IEEE Transactions on Automatic Control, ISSN 0018-9286, E-ISSN 1558-2523, Vol. 54, no 5, 1077-1081 p.Article in journal (Refereed) Published
Abstract [en]

In this technical note fundamental integral limitations are derived on the variance of estimated parametric models, for both open and closed loop identification. As an application of these results we show that, for multisine inputs, a well known asymptotic (in model order) variance expression provides upper bounds on the actual variance of the estimated models for finite model orders. The fundamental limitations established here give rise to a 'water-bed' effect, which is illustrated in an example.

Place, publisher, year, edition, pages
2009. Vol. 54, no 5, 1077-1081 p.
Keyword [en]
Single-input single-output (SISO)
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:kth:diva-32569DOI: 10.1109/TAC.2008.2010981ISI: 000266174100022Scopus ID: 2-s2.0-67349209496OAI: oai:DiVA.org:kth-32569DiVA: diva2:411239
Note

QC 20110418

Available from: 2011-04-18 Created: 2011-04-15 Last updated: 2017-12-11Bibliographically approved

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Rojas, Cristian R.

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