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Analysis of Identified 2-D Noncausal Models
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
1991 (English)Report (Other academic)
Abstract [en]

There are two approaches to the identification of noncausal autoregressive systems in two dimensions differing in the assumed noise model. For both approaches, the maximum likelihood estimator formulated in the frequency domain is presented. The Fisher information matrix is evaluated and found to be the sum of a block-Toeplitz and a block-Hankel matrix. The variance of the parameters, however, cannot be used for comparison of the two approaches, so the variance in the frequency domain is evaluated, assuming that the true system in each case can be described by a model of that type, possibly high-order. In particular, the variance of the spectrum estimate is derived. If the number of parameters tends to infinity, it is shown that the two approaches give the same spectrum estimate variance. The question of which set of true spectra can be described by the respective approaches is discussed.

Place, publisher, year, edition, pages
Linköping: Linköping University , 1991.
Series
LiTH-ISY-I, ISSN 8765-4321 ; 1228
Keyword [en]
Frequency-domain analysis, Information theory, Matrix algebra, Maximum likelihood estimation, Parameter estimation, Spectral analysis
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-95841OAI: oai:DiVA.org:liu-95841DiVA: diva2:638207
Available from: 2013-07-29 Created: 2013-07-29 Last updated: 2013-07-29

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Isaksson, Alf

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