Accuracy of linear multiple-input multiple-output (MIMO) models obtained by maximum likelihood estimation
2012 (English)In: Automatica, ISSN 0005-1098, Vol. 48, no 4, 632-637 p.Article in journal (Refereed) Published
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.
Maximum likelihood estimation, Accuracy, System identification
IdentifiersURN: urn:nbn:se:kth:diva-72581DOI: 10.1016/j.automatica.2012.01.015ISI: 000302766400007ScopusID: 2-s2.0-84858149529OAI: oai:DiVA.org:kth-72581DiVA: diva2:488385
FunderICT - The Next Generation
QC 201205252012-02-012012-01-312013-04-11Bibliographically approved