Fundamental Limitations on the Variance of Estimated Parametric Models
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
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.
Single-input single-output (SISO)
Engineering and Technology
IdentifiersURN: urn:nbn:se:kth:diva-32569DOI: 10.1109/TAC.2008.2010981ISI: 000266174100022ScopusID: 2-s2.0-67349209496OAI: oai:DiVA.org:kth-32569DiVA: diva2:411239
QC 201104182011-04-182011-04-152016-05-30Bibliographically approved