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Asymptotic Variance Expressions for Estimated Frequency Functions
Chinese Academy of Sciences, China.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2000 (English)Report (Other academic)
Abstract [en]

Expressions for the variance of an estimated frequency function are necessary for many issues in model validation and experiment design. A general result is that a simple expression for this variance can be obtained asymptotically as the model order tends to infinity. This expression shows that the variance is inversely proportional to the signal-to-noise ratio frequency by frequency. Still, for low order models the actual variance may be quite different. This has also been pointed out in several recent publications. In this contribution we derive an exact expression for the variance, which is not asymptotic in the model order. This expression applies to a restricted class of models: AR-models, as well as fixed pole models with a polynomial noise model. It brings out the character of the simple approximation and the convergence rate to the limit as the model order increases. It also provides nonasymptotic lower bounds for the general case. The calculations are illustrated by numerical examples.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2000. , 28 p.
LiTH-ISY-R, ISSN 1400-3902 ; 2277
Keyword [en]
Accuracy, Asymptotic variance, FIR models, System identification
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-55760ISRN: LiTH-ISY-R-2277OAI: diva2:316571
Available from: 2010-04-30 Created: 2010-04-30 Last updated: 2014-10-03Bibliographically approved

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Ljung, Lennart
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Automatic ControlThe Institute of Technology
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