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Variance-Bias Tradeoff in Finite Impulse Response Estimates Obtained by Correlation Analysis
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2002 (English)Report (Other academic)
Abstract [en]

Correlation analysis can in some cases produce better identification results than an ordinary least squares approach. This is for example the case when a Finite Impulse Response system is estimated from ill-conditioned input-output measurements. In this report, the correlation analysis method is rewritten as a regularized least squares algorithm and the performance of the method is discussed in this context. It turns out that the fact that correlation analysis can be viewed as a kind of regularization explains why and in what sense this method sometimes produces more accurate estimates than the ordinary least squares approach.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2002. , 11 p.
Series
LiTH-ISY-R, ISSN 1400-3902 ; 2416
Keyword [en]
System identification, Correlation analysis, Regularization, Least squares method
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-55679ISRN: LiTH-ISY-R-2416OAI: oai:DiVA.org:liu-55679DiVA: diva2:316388
Available from: 2010-04-30 Created: 2010-04-30 Last updated: 2014-08-01Bibliographically approved

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Enqvist, Martin

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
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More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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  • asciidoc
  • rtf