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Accuracy of linear multiple-input multiple-output (MIMO) models obtained by maximum likelihood estimation
The University of Newcastle, Australia.
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
KTH, School of Electrical Engineering (EES), Automatic Control. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre. (System Identification Group)ORCID iD: 0000-0002-9368-3079
The University of Newcastle, Australia.
2012 (English)In: Automatica, ISSN 0005-1098, E-ISSN 1873-2836, Vol. 48, no 4, 632-637 p.Article in journal (Refereed) Published
Abstract [en]

In this paper, we study the accuracy of linear multiple-input multiple-output (MIMO) models obtained by maximum likelihood estimation. We present a frequency-domain representation for the information matrix for general linear MIMO models. We show that the variance of estimated parametric models for linear MIMO systems satisfies a fundamental integral trade-off. This trade-off is expressed as a multivariable 'water-bed' effect. An extension to spectral estimation is also discussed.

Place, publisher, year, edition, pages
2012. Vol. 48, no 4, 632-637 p.
Keyword [en]
Maximum likelihood estimation, Accuracy, System identification
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:kth:diva-72581DOI: 10.1016/j.automatica.2012.01.015ISI: 000302766400007Scopus ID: 2-s2.0-84858149529OAI: oai:DiVA.org:kth-72581DiVA: diva2:488385
Funder
ICT - The Next Generation
Note

QC 20120525

Available from: 2012-02-01 Created: 2012-01-31 Last updated: 2017-12-08Bibliographically approved

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Rojas, Cristian R.Hjalmarsson, Håkan

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Agüero, Juan C.Rojas, Cristian R.Hjalmarsson, Håkan
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Automatic ControlACCESS Linnaeus Centre
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CiteExportLink to record
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  • apa
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  • Other locale
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Output format
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