Asymptotic Variance Expressions for a Frequency Domain Subspace Based System Identification Algorithm
1995 (English)Report (Other academic)
This paper deals with the analysis of a frequency domain identication algorithm The algorithm identies statespace models given samples of the frequency response given at equidistant frequencies A rst order per turbation analysis is performed revealing an explicit expression of resulting transfer function perturbation Stochastic analysis show that the estimate is asymptotically in data normal distributed and an explicit expression of the resulting variance is given Monte Carlo simulations illustrates the validity of the variance expression also for the nonasymptotic case.
Place, publisher, year, edition, pages
Linköping: Linköping University , 1995. , 25 p.
LiTH-ISY-R, ISSN 1400-3902 ; 1774
Identification, Subspace method, Stochastic analysis, Variance expression
IdentifiersURN: urn:nbn:se:liu:diva-55275ISRN: LITH-ISY-R-1774OAI: oai:DiVA.org:liu-55275DiVA: diva2:315853
FunderSwedish Research Council