liu.seSearch for publications in DiVA
Change search
ReferencesLink to record
Permanent link

Direct link
Asymptotic Variance Expressions for Identified Black-Box Transfer Function Models
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
1984 (English)In: Proceedings of the 23rd IEEE Conference on Decision and Control, 1984, 951-958 p.Conference paper (Refereed)
Abstract [en]

Identification of black-box transfer function models is considered. It is assumed that the transfer function models possess a certain shift-property, which is satisfied for example by all polynomial-typemodels. Expressions for the variances of the transfer function estimates are derived, that are asymptotic both in the number of observed data and in the model orders. The result is that the joint covariance matrix of the transfer functions from input to output and from driving white noise source to the additive output disturbance, respectively, is proportional to the inverse of the joint spectrum matrix for the input and driving noise multiplied by the spectrum of the additive output noise. The factor of proportionality is the ratio of model order to number of data. This result is independent of the particular model structure used. The result is applied to evaluate the performance degradation due tovariance for a number of typical model uses. Some consequences for input design are also drawn.

Place, publisher, year, edition, pages
1984. 951-958 p.
Keyword [en]
Identification, Black-box, Transfer function models, Asymptotic, Covariance matrix
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-103952DOI: 10.1109/CDC.1984.272156OAI: diva2:693296
23rd IEEE Conference on Decision and Control, Las Vegas, NV, USA, December, 1984
Available from: 2014-02-04 Created: 2014-02-04 Last updated: 2014-02-04

Open Access in DiVA

No full text

Other links

Publisher's full text

Search in DiVA

By author/editor
Ljung, Lennart
By organisation
Automatic ControlThe Institute of Technology
Control Engineering

Search outside of DiVA

GoogleGoogle Scholar
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Altmetric score

Total: 15 hits
ReferencesLink to record
Permanent link

Direct link