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Asymptotic Variance Expressions for a Frequency Domain Subspace Based System Identification Algorithm
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
1995 (English)Report (Other academic)
Abstract [en]

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
Keyword [en]
Identification, Subspace method, Stochastic analysis, Variance expression
Keyword [sv]
Cybernetik Informationsteori
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-55275ISRN: LITH-ISY-R-1774OAI: diva2:315853
Swedish Research Council
Available from: 2010-04-29 Created: 2010-04-29 Last updated: 2014-09-19Bibliographically approved

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Automatic ControlThe Institute of Technology
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ReferencesLink to record
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