Change search
ReferencesLink to record
Permanent link

Direct link
Variance Analysis in SISO Linear Systems Identification
KTH, School of Electrical Engineering (EES), Automatic Control.ORCID iD: 0000-0002-3672-5316
KTH, School of Electrical Engineering (EES), Automatic Control. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre. (System Identification)ORCID iD: 0000-0002-9368-3079
2015 (English)In: Automatica, ISSN 0005-1098Article in journal (Refereed) Submitted
Abstract [en]

Causal single input single output linear time invariant systems are considered. Expressions for the asymptotic (co)variance of system properties estimated using the prediction error method are derived. These expressions delineate the impacts of model structure, model order, true system dynamics, and experimental conditions. A connection to results on frequency function estimation is established. Also, simple model structure independent upper bounds are derived. Explicit variance expressions and bounds are provided for common system properties such as impulse response coefficients and non-minimum phase zeros. As an illustration of the insights the expressions provide, they are used to derive conditions on the input spectrum which makethe asymptotic variance of non-minimum phase zero estimates independent of the model order and model structure.

Place, publisher, year, edition, pages
National Category
Control Engineering
URN: urn:nbn:se:kth:diva-159099OAI: diva2:782528
Swedish Research Council, 621-2007-6271Swedish Research Council, 621-2009-4017

NQC 2015

Available from: 2015-01-21 Created: 2015-01-21 Last updated: 2015-04-09Bibliographically approved

Open Access in DiVA

No full text

Search in DiVA

By author/editor
Mårtensson, JonasEveritt, NiklasHjalmarsson, Håkan
By organisation
Automatic ControlACCESS Linnaeus Centre
In the same journal
Control Engineering

Search outside of DiVA

GoogleGoogle Scholar
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 208 hits
ReferencesLink to record
Permanent link

Direct link